Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550)
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scientific article; zbMATH DE number 7705464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion |
scientific article; zbMATH DE number 7705464 |
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Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (English)
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3 July 2023
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large deviations
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stochastic interest rates models
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Dothan model
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geometric Brownian motion
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