On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
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Publication:5940352
DOI10.4171/RMI/292zbMath0979.60073OpenAlexW2067177556MaRDI QIDQ5940352
Raouf Ghomrasni, Catherine Donati-Martin, Marc Yor
Publication date: 17 February 2002
Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/39626
Laplace transformBrownian motionMarkov processLévy process\(n\)-dimensional Markov processaveraged Asian option priceexponential functionals
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