Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (Q4830863)
From MaRDI portal
scientific article; zbMATH DE number 2123312
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options |
scientific article; zbMATH DE number 2123312 |
Statements
Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (English)
0 references
16 December 2004
0 references
Asian options
0 references
integral of geometric Brownian motion
0 references
Bessel processes
0 references
Laplace transform
0 references
complex analytic methods in stochastics
0 references
