Another look at the integral of exponential Brownian motion and the pricing of Asian options
From MaRDI portal
Publication:331365
DOI10.1007/s00780-016-0307-1zbMath1354.60087OpenAlexW2470801416MaRDI QIDQ331365
Publication date: 27 October 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-016-0307-1
Brownian motion (60J65) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Processes in random environments (60K37)
Related Items
A note on switching property for squared Bessel process ⋮ Another look at the Hartman-Watson distributions ⋮ K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions ⋮ Unnamed Item ⋮ Integral representations for the Hartman-Watson density
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Lower and upper bounds for prices of Asian-type options
- The Brownian escape process
- Explicit stationary distributions for compositions of random functions and products of random matrices
- A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor
- Weak convergence of random growth processes with applications to insurance
- Exponential functionals of Lévy processes
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Exponential functionals of Brownian motion. II: Some related diffusion processes
- On positive and negative moments of the integral of geometric Brownian motions
- Exponential functionals of Brownian motion and class-one Whittaker functions
- Laguerre Series for Asian and Other Options
- The integral of geometric Brownian motion
- An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
- BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- On some exponential functionals of Brownian motion
- Exponential functionals of Brownian motion and disordered systems
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
- The value of an Asian option
- Spectral Expansions for Asian (Average Price) Options
- On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
- Exponential functionals of Brownian motion and related processes
