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


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.


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Gianluca Fusai. "Corridor options and arc-sine law." Ann. Appl. Probab. 10 (2) 634 - 663, May 2000.


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

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

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


Vol.10 • No. 2 • May 2000
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