Author:
Jedidi Wissem,Vakeroudis Stavros
Abstract
Abstract
Motivated by a common mathematical finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of Brownian motion in the framework of planar Brownian motion. We prove a conjecture of Vakeroudis and Yor (2012) concerning infinite divisibility properties of this random variable and present a novel simple proof of the result of DeBlassie (1987), (1988) concerning the asymptotic behavior of the distribution of the Bessel clock appearing in the skew-product representation of planar Brownian motion, as t→∞. We use the results of the windings approach in order to obtain results for quantities associated to the pricing of Asian options.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
1 articles.
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