مرکز منطقه ای اطلاع رساني علوم و فناوري - Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

Title of article :

Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

Author/Authors :

Chin-Shan Chuang، نويسنده ,

Issue Information :

فصلنامه با شماره پیاپی سال 1996

Pages :

From page :

To page :

Keywords :

Brownian motion , Correlated Brownian motion in the plane , Maximum process , Contingentclaims , barrier options , Markov property

Journal title :

Statistics and Probability Letters

Serial Year :

1996

Journal title :

Statistics and Probability Letters

Record number :

138380

Link To Document :