Some applications of occupation times of Brownian motion with drift in mathematical finance.

Pechtl, Andreas

Journal of Applied Mathematics and Decision Sciences (1999)

  • Volume: 3, Issue: 1, page 63-73
  • ISSN: 2090-3359

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Pechtl, Andreas. "Some applications of occupation times of Brownian motion with drift in mathematical finance.." Journal of Applied Mathematics and Decision Sciences 3.1 (1999): 63-73. <http://eudml.org/doc/120176>.

@article{Pechtl1999,
author = {Pechtl, Andreas},
journal = {Journal of Applied Mathematics and Decision Sciences},
keywords = {Brownian motion drift; Black-Scholes model; corridor options; European options markets; occupation times},
language = {eng},
number = {1},
pages = {63-73},
publisher = {Hindawi Publishing Corporation, New York},
title = {Some applications of occupation times of Brownian motion with drift in mathematical finance.},
url = {http://eudml.org/doc/120176},
volume = {3},
year = {1999},
}

TY - JOUR
AU - Pechtl, Andreas
TI - Some applications of occupation times of Brownian motion with drift in mathematical finance.
JO - Journal of Applied Mathematics and Decision Sciences
PY - 1999
PB - Hindawi Publishing Corporation, New York
VL - 3
IS - 1
SP - 63
EP - 73
LA - eng
KW - Brownian motion drift; Black-Scholes model; corridor options; European options markets; occupation times
UR - http://eudml.org/doc/120176
ER -

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