Another look at the integral of exponential Brownian motion and the pricing of Asian options

Author:

Lyasoff Andrew

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference35 articles.

1. Alili, L., Dufresne, D., Yor, M.: Sur l’identité de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift. In: Yor, M. (ed.) Exponential Functionals and Principal Values Related to Brownian Motion. A Collection of Research Papers, pp. 3–14. Biblioteca de la Revista Matemática Ibero-Americana, Madrid (1997)

2. Baudoin, F., O’Connell, N.: Exponential functionals of Brownian motion and class-one Whittaker functions. Ann. Inst. Henri Poincaré B, Calc. Probab. Stat. 47, 1096–1120 (2011)

3. Bertoin, J., Yor, M.: Exponential functionals of Lévy processes. Probab. Surv. 2, 191–212 (2005)

4. Carmona, P., Petit, F., Yor, M.: On the distribution and asymptotic results for exponential functionals of Lévy processes. In: Yor, M. (ed.) Exponential Functionals and Principal Values Related to Brownian Motion. A Collection of Research Papers, pp. 73–130. Biblioteca de la Revista Matemática IberoAmericana, Madrid (1997)

5. Chamayou, J., Letac, G.: Explicit stationary distributions for compositions of random functions and products of random matrices. J. Theor. Probab. 4, 3–36 (1991)

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