From planar Brownian windings to Asian options

DOI10.1016/0167-6687(93)90531-SzbMath0792.60074OpenAlexW2058461785MaRDI QIDQ1318545

Marc Yor

Publication date: 26 April 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90531-s

zbMATH Keywords

Bessel processwinding numberexcursion theoryAsian optionchange of measurecomplex Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (7)

Sojourns and future infima of planar Brownian motion ⋮ A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate ⋮ Risk theory of the second and third kind ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Analytical calculation of risk measures for variable annuity guaranteed benefits ⋮ Windings of planar processes, exponential functionals and Asian options ⋮ Asymmetric skew Bessel processes and their applications to finance

Cites Work

• The Laplace transform of annuities certain with exponential time distribution
• Some Theorems Concerning 2-Dimensional Brownian Motion
• On some exponential functionals of Brownian motion
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Excursions of Brownian motion and bessel processes
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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