Open Access
Translator Disclaimer
May 2000 Corridor options and arc-sine law
Gianluca Fusai
Ann. Appl. Probab. 10(2): 634-663 (May 2000). DOI: 10.1214/aoap/1019487359

Abstract

We study a generalization of the arc-sine law. In particular we provide new results about the distribution of the time spent by a BM with drift inside a band, giving the Laplace transform of the characteristic function. If one of the extremes of the band goes to infinity, our formula agrees with the results given in Akahori and Takàcs.We apply these results to the pricing of exotic option contracts known as corridor derivatives.We then discuss the inversion problem comparing different numerical methods.

Citation

Download Citation

Gianluca Fusai. "Corridor options and arc-sine law." Ann. Appl. Probab. 10 (2) 634 - 663, May 2000. https://doi.org/10.1214/aoap/1019487359

Information

Published: May 2000
First available in Project Euclid: 22 April 2002

zbMATH: 1059.60085
MathSciNet: MR1768219
Digital Object Identifier: 10.1214/aoap/1019487359

Subjects:
Primary: 60H30 , 60J95 , 90A09
Secondary: 45D05

Keywords: arc-sine law , Black-Scholes , Feynman-Kac formula , integral equations , Laplace transform , numerical transform , occupation time of the Brownian motion , Options

Rights: Copyright © 2000 Institute of Mathematical Statistics

JOURNAL ARTICLE
30 PAGES


SHARE
Vol.10 • No. 2 • May 2000
Back to Top