THE DISTRIBUTION OF THE QUANTILE OF A BROWNIAN MOTION WITH DRIFT AND THE PRICING OF RELATED PATH-DEPENDENT OPTIONS
成果类型：
Article
署名作者：
Dassios, Angelos
署名单位：
University of London; London School Economics & Political Science
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004770
发表日期：
1995
页码：
389-398
关键词：
摘要：
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 resealed independent Brownian motions with drift, is given. The result is used in the pricing of a financial path-dependent option due to Miura.