On certain exponential regularity for Gaussian processes

DOI10.1007/S10687-007-0031-5zbMATH Open1164.60321OpenAlexW2000050878MaRDI QIDQ2463673FDOQ2463673

Authors: Christer Borell 

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0031-5

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zbMATH Keywords

inequalityBlack-Scholes modelBachelier modeloption price

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15)

Cites Work

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• The mathematics of arbitrage
• Markov Processes, Gaussian Processes, and Local Times
• Diffusion equations and geometric inequalities
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• The Wills functional and Gaussian processes
• A Geometric Approach to Maximum Likelihood Estimation for Infinite- Dimensional Gaussian Location. II
• Title not available (Why is that?)

Cited In (5)

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Wills functional for Poisson processes
• Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions
• On an exponential functional for Gaussian processes and its geometric foundations

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