29382

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

On the exact distribution of the maximum of the exponential of the generalized normal-inverse Gaussian process with respect to a martingale measure

ISBN/ISSN: 

ISSN 0973-9599

Наименование источника: 

  • Communications on Stochastic Analysis

Обозначение и номер тома: 

Vol.7, No. 4

Город: 

  • New Delhi

Издательство: 

  • Serials Publications

Год издания: 

2013

Страницы: 

511-521
Аннотация
In this paper we obtain explicit formulas for distributions of extrema of exponentials of time-changed Brownian motions with drift which generalize normal inverse Gaussian processes. The generalization is made by multiplying the normal inverse Gaussian process by a constant. The results are established with respect to the equivalent martingale measure. As examples of applications, problems of path-dependent option pricing are discussed.

Библиографическая ссылка: 

Иванов Р.В. On the exact distribution of the maximum of the exponential of the generalized normal-inverse Gaussian process with respect to a martingale measure // Communications on Stochastic Analysis. 2013. Vol.7, No. 4 . С. 511-521.