On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ″meander option″

• Takahiko Fujita

• Yasuhiro Kawanishi

• Marc Yor

Journal

• Pacific journal of mathematics for industry : PJMI

  Pacific journal of mathematics for industry : PJMI 6 65-71, 2014

  Fukuoka : Institute of Mathematics for Industry

Keywords

• Standard random walk
• Standard Brownian motion
• Excursion
• Meander
• Exotic option
• Black Scholes

Details

• CRID: 1520853834995480192
• NII Article ID: 40020377829
• NII Book ID: AA12704753
• ISSN: 21886369
• NDL BIB ID: 026193287
• Web Site: http://id.ndl.go.jp/bib/026193287
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I026193287
• Text Lang: en
• NDL Source Classification:
  • ZM31(科学技術--数学)
• Data Source:
  • NDL
  • CiNii Articles