Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Pricing path-dependent options in some Black-Scholes market, from the distribution of homogeneous Brownian functionals

Auteur(s):

Code(s) de Classification MSC:

Résumé: We give some explicit formulae for the prices of two path-dependent options which combine Brownian averages and penalizations. Because these options are based on both the maximum and local time of Brownian motion, the obtention of their prices necessitates some involved study of homogeneous Brownian functionals, which may be of interest by themselves.

Mots Clés: Brownian motion ; Brownian supremum ; Brownian local time ; options with barrier

Date: 2003-04-29

Prépublication numéro: PMA-815

Front pages : PMA-815.dvi