An extension of Seshadri's identities for Brownian motion

DOI10.1016/S0167-7152(02)00235-3zbMath1014.60058OpenAlexW1994814921MaRDI QIDQ1871298

Raouf Ghomrasni, Svend-Erik Graversen

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00235-3

zbMATH Keywords

Brownian motionAsian optionBrownian functional

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Cites Work

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• Weak convergence of random growth processes with applications to insurance
• On Bougerol and Dufresne's identities for exponential Brownian functionals
• On positive and negative moments of the integral of geometric Brownian motions
• Laguerre Series for Asian and Other Options
• Exponential models, brownian motion, and independence
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• On some exponential functionals of Brownian motion

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