Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering

Abstract EN

This paper provides new explicit results for some boundary crossing distributions in a multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time.

Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.