Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
نویسندگان
چکیده
منابع مشابه
1 7 N ov 2 00 3 Bessel processes , the integral of geometric Brownian motion , and Asian options
This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with [Y], these questions about exponential functionals of Brownian motion have been studied in terms of Bessel processes using the Hartman-Watson theory of [Y80]. Consequences of this approach for valuin...
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ژورنال
عنوان ژورنال: Theory of Probability & Its Applications
سال: 2004
ISSN: 0040-585X,1095-7219
DOI: 10.1137/s0040585x97980543