Year: 1999
Type: article
Abstract: The purpose of this paper is to present a survey of recent developments concerning the distributions of occupation times of Brownian motion and their applications in mathematical finance. The main result is a closed form version for Akahori's generalized arc-sine law which can be exploited for pricing some innovative types of options in the Black & Scholes model. Moreover a straightforward proof for Dassios' representation of the α -quantile of Brownian motion with drift shall be provided.
Author: Andreas Pechtl
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W2134463231