The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options
Open Access
- 1 May 1995
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 5 (2) , 389-398
- https://doi.org/10.1214/aoap/1177004770
Abstract
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