On positive and negative moments of the integral of geometric Brownian motions
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Publication:1579536
DOI10.1016/S0167-7152(00)00029-8zbMath0974.60069OpenAlexW2047050302WikidataQ127014834 ScholiaQ127014834MaRDI QIDQ1579536
Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor
Publication date: 2 December 2001
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00029-8
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Cites Work
- On Bougerol and Dufresne's identities for exponential Brownian functionals
- Brownian motion on the hyperbolic plane and Selberg trace formula
- Laguerre Series for Asian and Other Options
- Exponential functionals of Brownian motion and disordered systems
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