Moment generating function of the reciprocal of an integral of geometric Brownian motion

DOI10.1090/S0002-9939-04-07449-0zbMath1043.60070OpenAlexW1550898111MaRDI QIDQ4813694

Kyounghee Kim

Publication date: 13 August 2004

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-04-07449-0

zbMATH Keywords

Asian optionsgeometric Brownian motionmoment generating functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Unnamed Item
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• A note on the distribution of integrals of geometric Brownian motion