An affine property of the reciprocal Asian option process

zbMath0987.60026MaRDI QIDQ5939263

Daniel Dufresne

Publication date: 10 June 2002

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

Asian option; functionals of geometric Brownian motion

Mathematics Subject Classification ID

60G15: Gaussian processes

62E15: Exact distribution theory in statistics

60E10: Characteristic functions; other transforms

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