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Math Help - distribution integrated call option.

  1. #1
    Junior Member
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    distribution integrated call option.

    What is the distribution of
    integral 0...T max(a*W(t)-y,0)dt,
    where W(t) is a Wiener process.
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  2. #2
    MHF Contributor matheagle's Avatar
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    I remember laughing in class when I learned about the weiner measure.
    Being the only American in class, no one else saw the humour.
    I wondered, to myself, if it was in inches or cm?
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