The Distribution of the Quantile of a Brownian Motion with...

The Annals of Applied Probability 1995 / 05 Vol. 5; Iss. 2

The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options

Dassios, Angelos
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Volume:
5
Journal:
The Annals of Applied Probability
DOI:
10.1214/aoap/1177004770
Date:
May, 1995
File:
PDF, 567 KB
1995
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