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
Abstract
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.
Article information
Source
Ann. Appl. Probab., Volume 5, Number 2 (1995), 389-398.
Dates
First available in Project Euclid: 19 April 2007
Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177004770
Digital Object Identifier
doi:10.1214/aoap/1177004770
Mathematical Reviews number (MathSciNet)
MR1336875
Zentralblatt MATH identifier
0837.60076
JSTOR
links.jstor.org
Subjects
Primary: 60J65: Brownian motion [See also 58J65]
Keywords
Quantiles of Brownian motion with a drift Feyman-Kac occupation time path-dependent financial options
Citation
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
