Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (Q4830863)
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scientific article; zbMATH DE number 2123312
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options |
scientific article; zbMATH DE number 2123312 |
Statements
Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (English)
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16 December 2004
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Asian options
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integral of geometric Brownian motion
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Bessel processes
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Laplace transform
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complex analytic methods in stochastics
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0.89478999376297
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0.8542057871818542
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0.8415390849113464
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