Distributions of occupation times of Brownian motion with drift.
Journal of Applied Mathematics and Decision Sciences (1999)
- Volume: 3, Issue: 1, page 41-62
- ISSN: 2090-3359
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topPechtl, Andreas. "Distributions of occupation times of Brownian motion with drift.." Journal of Applied Mathematics and Decision Sciences 3.1 (1999): 41-62. <http://eudml.org/doc/120175>.
@article{Pechtl1999,
author = {Pechtl, Andreas},
journal = {Journal of Applied Mathematics and Decision Sciences},
keywords = {quantile options; Black-Scholes model; survey; occupation times; Brownian motion; mathematical finance; Akahori's generalized arc-sine law},
language = {eng},
number = {1},
pages = {41-62},
publisher = {Hindawi Publishing Corporation, New York},
title = {Distributions of occupation times of Brownian motion with drift.},
url = {http://eudml.org/doc/120175},
volume = {3},
year = {1999},
}
TY - JOUR
AU - Pechtl, Andreas
TI - Distributions of occupation times of Brownian motion with drift.
JO - Journal of Applied Mathematics and Decision Sciences
PY - 1999
PB - Hindawi Publishing Corporation, New York
VL - 3
IS - 1
SP - 41
EP - 62
LA - eng
KW - quantile options; Black-Scholes model; survey; occupation times; Brownian motion; mathematical finance; Akahori's generalized arc-sine law
UR - http://eudml.org/doc/120175
ER -
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