Back to Search
Start Over
The distribution of continuous time rank processes.
- Source :
- Advances in Mathematical Economics (9784431343417); 2006, p25-32, 8p
- Publication Year :
- 2006
-
Abstract
- In this paper, we will give exact calculations of probability disrtributions of continuous rank processes in Brownian case, Brownian motion with drift case, Pinned Brownian motion case. These calculations are based on the results of the joint distributions of Brownian motion and its soujourn time. Also we give new exotic options using rank statistics and calculate the price of rank options. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9784431343417
- Database :
- Supplemental Index
- Journal :
- Advances in Mathematical Economics (9784431343417)
- Publication Type :
- Book
- Accession number :
- 32943186
- Full Text :
- https://doi.org/10.1007/4-431-34342-3_2