Chuang, Chin-Shan - In: Statistics & Probability Letters 28 (1996) 1, pp. 81-90
Consider Brownian motion Bt and its maximum Mt = max0 [less-than-or-equals, slant] s [less-than-or-equals, slant] t Bs. We derive the joint distribution of (Ms, Bt) for all s and make a generalization to correlated BM. These distributions are applied to price barrier options.