Pages that link to "Item:Q4405826"
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The following pages link to On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts (Q4405826):
Displaying 20 items.
- Continuous state branching processes in random environment: the Brownian case (Q511139) (← links)
- Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model (Q857097) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Functional Feynman-Kac equations for limit lognormal multifractals (Q996850) (← links)
- Interpretation via Brownian motion of some independence properties between GIG and gamma variables. (Q1424466) (← links)
- Asymptotic results for exponential functionals of Lévy processes (Q1683810) (← links)
- On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof (Q1827551) (← links)
- Additive properties of the Dufresne laws and their multivariate extension (Q1970316) (← links)
- Hartman-Watson distribution and hyperbolic-like heat kernels (Q2071457) (← links)
- Integral representations for the Hartman-Watson density (Q2116476) (← links)
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable (Q2196538) (← links)
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (Q2583513) (← links)
- Extensions of Bougerol's identity in law and the associated anticipative path transformations (Q2668501) (← links)
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
- On some equalities of laws for Brownian motion with drift (Q4944540) (← links)
- Explicit Expressions of the Hua--Pickrell Semigroup (Q5097172) (← links)
- LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS (Q5692940) (← links)
- Matrix Dufresne Identities (Q5744703) (← links)