# 29382

## 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

ISSN 0973-9599

## Наименование источника:

• Communications on Stochastic Analysis

Vol.7, No. 4

• New Delhi

## Издательство:

• Serials Publications

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.