Moment generating function of the reciprocal of an integral of geometric Brownian motion (Q4813694): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / cites work: A note on the distribution of integrals of geometric Brownian motion / rank | |||
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| Property / cites work: Q3963759 / rank | |||
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| Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank | |||
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| Property / cites work: The value of an Asian option / rank | |||
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| Property / cites work: On some exponential functionals of Brownian motion / rank | |||
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| Property / full work available at URL: https://doi.org/10.1090/s0002-9939-04-07449-0 / rank | |||
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| Property / OpenAlex ID: W1550898111 / rank | |||
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Latest revision as of 09:56, 30 July 2024
scientific article; zbMATH DE number 2091089
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moment generating function of the reciprocal of an integral of geometric Brownian motion |
scientific article; zbMATH DE number 2091089 |
Statements
Moment generating function of the reciprocal of an integral of geometric Brownian motion (English)
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13 August 2004
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geometric Brownian motion
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Asian options
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moment generating functions
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