On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model

DOI10.4064/sm219-3-2zbMath1294.60102arXiv1102.0021OpenAlexW2327917533MaRDI QIDQ2866767

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 16 December 2013

Published in: Studia Mathematica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.0021

zbMATH Keywords

Laplace transformBessel processOrnstein-Uhlenbeck processgeometric Brownian motion\(T_\alpha\) transform

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Financial applications of other theories (91G80) Laplace transform (44A10)

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