On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914): Difference between revisions

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English	On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values	scientific article

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instance of

scholarly article

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title

On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (English)

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author

Michael Schröder

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published in

Advances in Applied Probability

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publication date

31 January 2007

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zbMATH Keywords

Laguerre series methods for stochastic functionals

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moment formulae for the integral of geometric Brownian motion

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explicit valuation of an Asian option

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1239/aap/1165414589

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cites work

Q4222737

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Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options

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Diffusion in a one-dimensional random medium and hyperbolic Brownian motion

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Q5653157

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On striking identities about the exponential functionals of the Brownian bridge and Brownian motion

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On positive and negative moments of the integral of geometric Brownian motions

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Q2782355

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Weak convergence of random growth processes with applications to insurance

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Laguerre Series for Asian and Other Options

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The integral of geometric Brownian motion

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Q3369466

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Q5824493

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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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Q4002114

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Q3215519

0 references

Spectral Expansions for Asian (Average Price) Options

0 references

Elementary Solutions for Certain Parabolic Partial Differential Equations

0 references

Tata lectures on theta. I: Introduction and motivation: Theta functions in one variable. Basic results on theta functions in several variables. With the assistance of C. Musili, M. Nori, E. Previato, and M. Stillman

0 references

Tata lectures on theta. II: Jacobian theta functions and differential equations. With the collaboration of C. Musili, M. Nori, E. Previato, M. Stillman, and H. Umemura

0 references

Tata lectures on theta. III

0 references

Q5287558

0 references

The value of an Asian option

0 references

On the integral of geometric Brownian motion

0 references

Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

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LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS

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On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

0 references

Q5846799

0 references

On some exponential functionals of Brownian motion

0 references

Q4693741

0 references

Q4383826

0 references

Exponential functionals of Brownian motion and related processes

0 references

Identifiers

zbMATH Open document ID

1109.60068

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Mathematics Subject Classification ID

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10.1239/AAP/1165414589

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Sitelinks

Mathematics(1 entry)

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+Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
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+On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
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+On positive and negative moments of the integral of geometric Brownian motions
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+Weak convergence of random growth processes with applications to insurance
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+Spectral Expansions for Asian (Average Price) Options
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+Elementary Solutions for Certain Parabolic Partial Differential Equations
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@@ Property / cites work @@
+Tata lectures on theta. II: Jacobian theta functions and differential equations. With the collaboration of C. Musili, M. Nori, E. Previato, M. Stillman, and H. Umemura
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+Tata lectures on theta. III
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+The value of an Asian option
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+Normal rank
@@ Property / cites work @@
+On the integral of geometric Brownian motion
@@ Property / cites work: On the integral of geometric Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
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@@ Property / cites work @@
+LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
+Normal rank
@@ Property / cites work @@
+On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results
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+Q5846799
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@@ Property / cites work @@
+On some exponential functionals of Brownian motion
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+Q4693741
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@@ Property / cites work @@
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+Exponential functionals of Brownian motion and related processes
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