A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion

DOI10.1214/EJP.v14-674zbMath1201.60033OpenAlexW2021524765MaRDI QIDQ1039155

J. Blot

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229218

zbMATH Keywords

Brownian sheetconvex orderasian optionrunning average

Mathematics Subject Classification ID

Random fields (60G60) Brownian motion (60J65) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (10)

Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks ⋮ Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets ⋮ Quantizations of probability measures and preservation of the convex order ⋮ Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order ⋮ SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL ⋮ Asian and Australian options: a common perspective ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ MRL order, log-concavity and an application to peacocks ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order ⋮ Construction of peculiar diffusion process having Gaussian marginals

This page was built for publication: A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion