Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550)
From MaRDI portal
scientific article; zbMATH DE number 7705464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion |
scientific article; zbMATH DE number 7705464 |
Statements
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (English)
0 references
3 July 2023
0 references
large deviations
0 references
stochastic interest rates models
0 references
Dothan model
0 references
geometric Brownian motion
0 references
