THE DISTRIBUTION OF THE QUANTILE OF A BROWNIAN MOTION WITH DRIFT AND THE PRICING OF RELATED PATH-DEPENDENT OPTIONS

被引：44

作者：

Dassios, Angelos ^{[1
]}

机构：

[1] London Sch Econ, Dept Stat, London WC2A 2AE, England

来源：

ANNALS OF APPLIED PROBABILITY | 1995年 / 5卷 / 02期

关键词：

Quantiles of Brownian motion with a drift; Feyman-Kac; occupation time; path-dependent financial options;

D O I：

10.1214/aoap/1177004770

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The study of the quantile of a Brownian motion with a drift is undertaken. An explicit formula for its density, as well as a representation of its distribution as the sum of the maximum and the minimum of two resealed independent Brownian motions with drift, is given. The result is used in the pricing of a financial path-dependent option due to Miura.

引用

页码：389 / 398

页数：10