Abstract
In this chapter, we will first introduce some Brownian motion related distributions that are useful for pricing exotic options.
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Notes
- 1.
A mathematical concept in which infinity is achieved at one point but zero otherwise.
References
Becker, M.: Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing. Comput. Manage. Sci. 7(1), 1–17 (2010)
Kwok, Y.-K.: Mathematical Models of Financial Derivatives, 2nd edn. Springer, New York (2008)
Shreve, S.E.: Stochastic Calculus for Finance II: Continuous-Time Models, 1st edn. Springer, New York (2004)
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Chan, R.H., Guo, Y.Z., Lee, S.T., Li, X. (2019). Exotic Options Pricing and Hedging. In: Financial Mathematics, Derivatives and Structured Products. Springer, Singapore. https://doi.org/10.1007/978-981-13-3696-6_16
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DOI: https://doi.org/10.1007/978-981-13-3696-6_16
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