TY - JOUR AU - Fujita, Takahiko AU - Kawanishi, Yasuhiro AU - Yor, Marc PY - 2014 DA - 2014/09/20 TI - On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called “meander option” JO - Pacific Journal of Mathematics for Industry SP - 2 VL - 6 IS - 1 AB - We consider some distributions of one sided maxima of excursions and related variables for standard random walk and Brownian motion. We propose some new exotic options called meander options related to one of the fragments: the meander. We discuss the prices of meander options in a Black-Scholes market. SN - 2198-4115 UR - https://doi.org/10.1186/s40736-014-0002-0 DO - 10.1186/s40736-014-0002-0 ID - Fujita2014 ER -