Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering

Tristan Guillaume ()
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Tristan Guillaume: THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper provides new explicit results for some boundary crossing distributions in a multi-dimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical valuation of a large number of option contracts traded in the financial markets belonging to the classes of barrier and lookback options.

Keywords: boundary hitting; multidimensional geometric brownian motion (search for similar items in EconPapers)
Date: 2011
Note: View the original document on HAL open archive server: https://hal.science/hal-00924277
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Published in International Scholarly Research Notices, 2011, 1, pp.1-21

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