On the dependence between a Wiener process and its running maxima and running minima processes
| Autor: | Dąbrowski, Karol, Jaworski, Piotr |
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| Rok vydání: | 2021 |
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| Druh dokumentu: | Working Paper |
| Popis: | We study a triple of stochastic processes: a Wiener process $W_t$, $t \geq 0$, its running maxima process $M_t=\sup \{W_s: s \in [0,t]\}$ and its running minima process $m_t=\inf \{W_s: s \in [0,t]\}$. We derive the analytical formulas for the joint distribution function and the corresponding copula. As an application we draw out an analytical formula for pricing double barrier options. |
| Databáze: | arXiv |
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