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

DOI10.1239/AAP/1165414589zbMath1109.60068OpenAlexW4247139591MaRDI QIDQ3417914

Michael Schröder

Publication date: 31 January 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1165414589

zbMATH Keywords

explicit valuation of an Asian optionLaguerre series methods for stochastic functionalsmoment formulae for the integral of geometric Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

Related Items (5)

Forests, cumulants, martingales ⋮ On constructive complex analysis in finance: Explicit formulas for Asian options ⋮ Guiding the guiders: Foundations of a market-driven theory of disclosure ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

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