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Brownian time reversal for fixed-strike lookback extrema

For a Brownian motion with drift , the process on has the same law as . Therefore
(34)
have the same distribution, which equates the corresponding geometric-Brownian lookback payoffs.

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  1. Risk-neutral measure for the Black-Scholes model
  2. Exponential Brownian martingale
  3. Brownian motion
  4. Stochastic process
  5. Probability theory
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