A Note on the Distribution of Multivariate Brownian Extrema

Marcos Escobar Anel () and Julio Hernandez

International Journal of Stochastic Analysis, 2014, vol. 2014, 1-6

Abstract:

This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamentals regions of irreducible spherical simplexes generated by reflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2014/575270.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2014/575270.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:575270

DOI: 10.1155/2014/575270

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().