Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

Chin-Shan Chuang

Statistics & Probability Letters, 1996, vol. 28, issue 1, 81-90

Abstract: Consider Brownian motion Bt and its maximum Mt = max0 [less-than-or-equals, slant] s [less-than-or-equals, slant] t Bs. We derive the joint distribution of (Ms, Bt) for all s and make a generalization to correlated BM. These distributions are applied to price barrier options.

Keywords: Brownian; motion; Correlated; Brownian; motion; in; the; plane; Maximum; process; Markov; property; Contingent; claims; Barrier; options (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (5)

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