A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion (Q1039155)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion |
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A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion (English)
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20 November 2009
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convex order
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Brownian sheet
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asian option
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running average
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