Corridor options and arc-sine law

• 成果类型: Article
• 署名作者: Fusai, G
• 署名单位: University of Florence
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2000
• 页码: 634-663
• 关键词: numerical inversion

摘要

We study a generalization of the are-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 Takacs. 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.