Another look at the integral of exponential Brownian motion and the pricing of Asian options (Q331365)

The author summarizes the contents of this paper in the abstract as follows: ``It is shown that \textit{M. Yor}'s formula [Adv. Appl. Probab. 24, No. 3, 509--531 (1992; Zbl 0765.60084)] for the density of the integral of exponential Brownian motion taken over a finite time interval is an extremal member of a family of previously unknown integral formulae for the same density. The derivation is independent from the one by Yor and obtained from a simple time-reversibility feature, in conjunction with a Fokker-Planck type argument. Similar arguments lead to an independent derivation of \textit{D. Dufresne}'s result [Scand. Actuarial J. 1990, No. 1--2, 39--79 (1990; Zbl 0743.62101)] for the law of the integral taken over an infinite time interval. The numerical aspects of the new formulae are developed, with concrete applications to Asian options.''