The integral of geometric Brownian motion (Q2726726)

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The integral of geometric Brownian motion
scientific article

    Statements

    title
    The integral of geometric Brownian motion (English)
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    author
    Daniel Dufresne
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    publication date
    24 February 2002
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    zbMATH Keywords
    Brownian motion
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    Bougerol's identity
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    Asian options
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    Identifiers

    DOI
    10.1239/aap/999187905
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    zbMATH DE Number
    1621401
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