On positive and negative moments of the integral of geometric Brownian motions (Q1579536)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On positive and negative moments of the integral of geometric Brownian motions |
scientific article |
Statements
On positive and negative moments of the integral of geometric Brownian motions (English)
0 references
2 December 2001
0 references
Let \(A_t(\mu)=\int_0^t\exp(2B_t+2\mu)dt\) where \(B\) is a standard Brownian motion. Recently, Dufresne obtained formulae for moments of this random variable involving the Gauss hypergeometric function. The note gives alternative proofs based on a distributional identity due to Matsumoto and Yor.
0 references
geometric Brownian motion
0 references
mathematical finance
0 references
hyperbolic Brownian motion
0 references