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Complements on Brownian Motion

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Chapter
  • 3.7k Downloads
Part of the Springer Finance book series (FINANCE)

Abstract

In the first part of this chapter, we present the definition of local time and the associated Tanaka formulae, first for Brownian motion, then for more general continuous semi-martingales. In the second part, we give definitions and basic properties of Brownian bridges and Brownian meander. This is motivated by the fact that, in order to study complex derivative instruments, such as passport options or Parisian options, some knowledge of local times, bridges and excursions with respect to BM in particular and more generally for diffusions, is useful. We give some applications to exotic options, in particular to Parisian options.

Keywords

Brownian Motion Local Time Implied Volatility Stochastic Volatility Model Local Martingale 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

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