{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,28]],"date-time":"2026-02-28T16:59:29Z","timestamp":1772297969704,"version":"3.50.1"},"reference-count":0,"publisher":"Informa UK Limited","issue":"1","license":[{"start":{"date-parts":[[1999,1,1]],"date-time":"1999-01-01T00:00:00Z","timestamp":915148800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[1999,1,1]]},"abstract":"<jats:p>In the last few years new types of path-dependent options called corridor options\nor range options have become well-known derivative instruments in European options markets.\nSince the payout profiles of those options are based on occupation times of the underlying security\nthe purpose of this paper is to provide closed form pricing formulae of Black &amp; Scholes type for\nsome significant representatives. Alternatively we demonstrate in this paper a relatively simple\nderivation of the Black &amp; Scholes price for a <jats:italic>single corridor option<\/jats:italic>  \u2013 based on a static portfolio representation \u2013 which does not make use of the distribution of occupation times (of Brownian\nmotion). However, knowledge of occupation times' distributions is a more powerful tool.<\/jats:p>","DOI":"10.1155\/s1173912699000048","type":"journal-article","created":{"date-parts":[[2007,3,8]],"date-time":"2007-03-08T07:44:28Z","timestamp":1173339868000},"page":"63-73","source":"Crossref","is-referenced-by-count":8,"title":["Some applications of occupation times of Brownian motion with\ndrift in mathematical finance"],"prefix":"10.1080","volume":"3","author":[{"given":"Andreas","family":"Pechtl","sequence":"first","affiliation":[{"name":"Center of Asset Pricing and Financial Products Development, Deutsche Genossenschaftsbank Frankfurt am Main, Am Platz der Republik, Frankfurt am Main D\u201360325, Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/1999\/181404.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/1999\/181404.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T14:22:57Z","timestamp":1723126977000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/1999\/181404\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1999,1,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1999,1,1]]}},"alternative-id":["181404"],"URL":"https:\/\/doi.org\/10.1155\/s1173912699000048","relation":{},"ISSN":["1173-9126"],"issn-type":[{"value":"1173-9126","type":"print"}],"subject":[],"published":{"date-parts":[[1999,1,1]]}}}