Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering
Keyword(s):
This paper provides new explicit results for some boundary crossing distributions in a multidimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and look-back options.
2013 ◽
Vol 18
(3)
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pp. 325-345
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2021 ◽
Vol 16
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pp. 59-67
Keyword(s):
2011 ◽
Vol 01
(02)
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pp. 134-138
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2018 ◽
Vol 168
(1)
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pp. 29-41
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