Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options-Reference-Cited by-同舟云学术

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Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

Published:1996-06 Issue:1 Volume:28 Page:81-90
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Chuang Chin-Shan

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference9 articles.

1. An Introduction to Multivariate Statistical Analysis;Anderson,1984

2. Options Markets;Cox,1985

3. Brownian Motion and Stochastic Flow Systems;Harrison,1985

4. Martingales and Arbitrage in Multiperiod Securities Markets;Harrison;J. Economic Theory,1979

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