Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering

This paper provides new explicit results for some boundary crossing distributions in a multi-dimensional 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 lookback options.

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Year of publication:	2011
Authors:	Guillaume, Tristan
Institutions:	HAL
Subject:	boundary hitting \| multidimensional geometric brownian motion

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00924277 Published, ISRN Applied Mathematics, 2011, 1, 1-21
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898747