Wiener process and applications
| Authors | |
|---|---|
| Year of publication | 2010 |
| Type | Article in Proceedings |
| Conference | Workshop of the Jaroslav Hájek Center, Book of short papers |
| MU Faculty or unit | |
| Citation | |
| Keywords | Wiener process; Ito calculus; barrier options |
| Description | Wiener process is a cornerstone of mathematical modeling in financial theory. This stochastic process is used as a natural tool for description of asset prices behavior. We aim to value barrier options, whose payoffs depend on the entire history of the share price up to termination. For this purpose Cameron-Martin theorem is used. As the Wiener process has nondifferentiable trajectories the Ito calculus is also applied. The computations are illustrated in Maple environment. |