The distribution of continuous time rank processes.

Authors :: Anderson, Robert
Castaing, Charles
Clarke, Frank H.
Dierker, Egbert
Duffie, Darrell
Evans, Lawrence C.
Fujimoto, Takao
Grandmont, Jean-Michel
Hirano, Norimichi
Hurwicz, Leonid
Ichiishi, Tatsuro
Ioffe, Alexander
Iwamoto, Seiichi
Kamiya, Kazuya
Kawamata, Kunio
Kikuchi, Norio
Maruyama, Toru
Matano, Hiroshi
Nishimura, Kazuo
Richter, Marcel K.
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]