Distributions of occupation times of Brownian motion with drift

Journal of Applied Mathematics and Decision Sciences

Volumn 3, Issue 1, 1999, Pages 41-62

  Pechtl, Andreas ^a  

^a Deutsche Genossenschaftsbank Frankfurt am Main   (Germany)

Author keywords

Black Scholes model; Brownian motion with drift; Occupation times; Quantile options

Indexed keywords

EID: 33847029292     PISSN: 11739126     EISSN: 15327612     Source Type: Journal    
DOI: 10.1155/S1173912699000036     Document Type: Article

References (8)

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