First Passage Time & Running Extrema of Geometric Brownian Motion
First Passage Time & Running Extrema of Geometric Brownian Motion: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Compute the analytical distributions of the running maximum, running minimum, and first passage times for Brownian motion with drift. These…
The task
Compute the analytical distributions of the running maximum, running minimum, and first passage times for Brownian motion with drift. These closed-form results — derived from the reflection principle — are foundational for barrier option pricing, credit risk modeling, and drawdown analysis. Verify all analytical…
Part of codeslord/skilltrainbench-public.