On the distribution of the time-integral of the geometric Brownian motion

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Publication:6411298

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DOI10.1016/j.cam.2021.113818zbMath1475.60153arXiv2209.09412MaRDI QIDQ6411298

Péter Nándori, Dan Pirjol

Publication date: 19 September 2022

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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