The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 5, Number 2 (1995), 389-398.
The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options
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 rescaled independent Brownian motions with drift, is given. The result is used in the pricing of a financial path-dependent option due to Miura.
Ann. Appl. Probab., Volume 5, Number 2 (1995), 389-398.
First available in Project Euclid: 19 April 2007
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Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60J65: Brownian motion [See also 58J65]
Dassios, Angelos. The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options. Ann. Appl. Probab. 5 (1995), no. 2, 389--398. doi:10.1214/aoap/1177004770. https://projecteuclid.org/euclid.aoap/1177004770