Geometric bounds on certain sublinear functionals of geometric Brownian motion (Q4819504)
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scientific article; zbMATH DE number 2103411
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| default for all languages | No label defined |
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| English | Geometric bounds on certain sublinear functionals of geometric Brownian motion |
scientific article; zbMATH DE number 2103411 |
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Geometric bounds on certain sublinear functionals of geometric Brownian motion (English)
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27 September 2004
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geometric Brownian motion
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sublinear functional
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log-normal distribution
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geometric inequality
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log-concave distribution
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tail probability
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moment inequality
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moment problem
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option pricing
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Asian basket option
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0.9017992
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0.89995855
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0.89846635
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0.8929773
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0.8892428
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0.8882024
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0.8818456
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0.88102794
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0.87962675
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