Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

DOI10.1016/j.orl.2023.04.002zbMath1525.60101arXiv2306.09084OpenAlexW4367301194MaRDI QIDQ6106550

Lingjiong Zhu, Dan Pirjol

Publication date: 3 July 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.09084

zbMATH Keywords

large deviationsgeometric Brownian motionDothan modelstochastic interest rates models

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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