Year: 2006
Type: conference-paper
Abstract: Let B ＝ (Bt)t≥0 be a standard Brownian motion started at zero, and let μ ∈ R be a given and fixed constant. Set Bμt ＝ Bt +μt and Sμt ＝ max0≤s≤t Bμs for t ≥ 0. Then the process:
DOI: 10.5687/sss.2006.1
Author: Goran Peskir
Institution: University of Manchester
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1990869727