Functionals of Brownian motion in path-dependent option valuation

MaRDI QIDQ4407997zbMATH OpenFDO

Authors Helyette Geman

Publication date 2001

zbMATH Keywords

Asian optionsBlack-Scholes-Merton settingLaplace transform techniquesstochastic time changes

Mathematics Subject Classification ID

Brownian motion (60J65)

Recommendations

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Cited in

(5)

• Weak convergence methods for approximation of the evaluation of path-dependent functionals
• Valuation of performance-dependent options in a Black-Scholes framework
• Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
• Short communication: projection of functionals and fast pricing of exotic options
• Time changes, Laplace transforms and path-dependent options

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