An affine property of the reciprocal Asian option process (Q5939263): Difference between revisions

This paper is concerned with the distribution of the process \(A^{(\mu)}_t = \int_0^t\exp(2\mu s+2W_s) ds\) \((t \geq 0, \mu \in \mathbb R)\) where \(W\) is a standard Brownian motion. Specifically, the author proves the identiy in law \(1/(2 A^{(\mu)}_t)+G_\mu =_d 1/(2 A^{(-\mu)}_t)\) for some independent Gamma-distributed variable \(G_\mu\). A similar identity is provided for the process stopped at an independent exponential time \(T_\lambda\). This result allows the author to rewrite the Laplace transform of \(1/(2 A^{(\mu)}_{T_\lambda})\) in terms of quotients of certain independent Beta-distributed random variables.