Geometric bounds on certain sublinear functionals of geometric Brownian motion

DOI10.1239/JAP/1067436089MaRDI QIDQ4819504zbMATH OpenOpenAlexFDO

Authors Per Hörfelt

Publication date 27 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1067436089

zbMATH Keywords

tail probabilityoption pricinglog-concave distributiongeometric Brownian motionmoment problemlog-normal distributiongeometric inequalitymoment inequalitysublinear functionalAsian basket option

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 1149768 (Why is no real title available?)
• scientific article; zbMATH DE number 3186324 (Why is no real title available?)
• A note on the distribution of integrals of geometric Brownian motion
• Convex measures on locally convex spaces
• Convex set functions in d-space
• Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
• Exponential functionals of Brownian motion and related processes
• Extremal properties of half-spaces for spherically invariant measures
• Laguerre series for Asian and other options
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• On Sums of Lognormal Random Variables
• On positive and negative moments of the integral of geometric Brownian motions
• On the lower tail of Gaussian seminorms
• Remarks on converse Carleman and Krein criteria for the classical moment problem
• Spectral Expansions for Asian (Average Price) Options
• Tail of the distribution of sums of log-normal variates
• The Brunn-Minkowski inequality in Gauss space
• The integral of geometric Brownian motion
• The value of an Asian option

Cited in

(2)

• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• The moment problem for some Wiener functionals: corrections to previous proofs (with an appendix by H. L. Pedersen)

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