Publication details

Wiener process and applications

Authors

KŘIVÁNKOVÁ Lenka

Year of publication 2010
Type Article in Proceedings
Conference Workshop of the Jaroslav Hájek Center, Book of short papers
MU Faculty or unit

Faculty of Science

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.

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