Joint high-low probability of geometric Brownian motion
created by:
Thijs van den Berg
(http://www.sitmo.com)
The probability that the high and the low of an underlying are within the range [L,H]. The underlying behavior is geometric Brownian motion with a yield (drift) \mu, volatility \sigma, and has an initial value of S_0
List of symbols
Probability of x
Start value of the geometric Brownian motion
T
End of the interval of which the high and low are measured
