Pages that link to "Item:Q4014074"

The following pages link to On some exponential functionals of Brownian motion (Q4014074):

Displaying 50 items.

• Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (Q2583513) (← links)
• Geometric Brownian motion with affine drift and its time-integral (Q2663830) (← links)
• Existence of a fundamental solution of partial differential equations associated to Asian options (Q2665499) (← links)
• Extensions of Bougerol's identity in law and the associated anticipative path transformations (Q2668501) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• Approximating the first passage time density from data using generalized Laguerre polynomials (Q2684064) (← links)
• On two-dimensional extensions of Bougerol's identity in law (Q2686011) (← links)
• On a triplet of exponential Brownian functionals (Q2725621) (← links)
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws (Q2731031) (← links)
• Interpretations in terms of Brownian and Bessel meanders of the distribution of a subordinated perpetuity (Q2738736) (← links)
• On the tail probabilities of aggregated lognormal random fields with small noise (Q2800372) (← links)
• On the density functions of integrals of Gaussian random fields (Q2837753) (← links)
• On the Yor integral and a system of polynomials related to the Kontorovich–Lebedev transform (Q2854313) (← links)
• On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model (Q2866767) (← links)
• Two stock options at the races: Black–Scholes forecasts (Q2873553) (← links)
• Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)
• Finite-Time Blowup and Existence of Global Positive Solutions of a Semi-linear Stochastic Partial Differential Equation with Fractional Noise (Q2946087) (← links)
• THE DOTHAN PRICING MODEL REVISITED (Q3084606) (← links)
• The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options (Q3094703) (← links)
• The Brownian motion on 𝐴𝑓𝑓(ℝ) and quasi-local theorems (Q3295937) (← links)
• The moment problem for some Wiener functionals: corrections to previous proofs (with an appendix by H. L. Pedersen) (Q3367753) (← links)
• Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I (Q3414142) (← links)
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914) (← links)
• Real-World Pricing for a Modified Constant Elasticity of Variance Model (Q3565103) (← links)
• ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
• A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS (Q3580191) (← links)
• Random motions at finite velocity in a non-Euclidean space (Q3590753) (← links)
• On constructive complex analysis in finance: Explicit formulas for Asian options (Q3616463) (← links)
• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE (Q3621563) (← links)
• (Q3685766) (← links)
• Exponential models, brownian motion, and independence (Q3833411) (← links)
• Sur certaines fonctionnelles exponentielles du mouvement brownien réel (Q3992300) (← links)
• Exponential functionals of Brownian motion and disordered systems (Q4215674) (← links)
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (Q4226853) (← links)
• On Some Exponential‐Integral Functionals of Bessel Processes (Q4372012) (← links)
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (Q4372019) (← links)
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts (Q4405826) (← links)
• Long-Term Returns in Stochastic Interest Rate Models: Applications (Q4407163) (← links)
• PASSPORT OPTIONS (Q4419297) (← links)
• New asymptotic expansion and error bound for Stirling formula of reciprocal Gamma function (Q4561078) (← links)
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
• SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
• A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line (Q4618067) (← links)
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
• The log-normal approximation in financial and other computations (Q4662236) (← links)
• Invariance formulas for stopping times of squared Bessel process (Q4685698) (← links)
• Moment generating function of the reciprocal of an integral of geometric Brownian motion (Q4813694) (← links)
• Risk theory of the second and third kind (Q4844220) (← links)
• The British Asian Option (Q4931851) (← links)
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075) (← links)