Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
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Publication:2583513
DOI10.1007/s11009-005-4517-9zbMath1087.65006OpenAlexW2084070197MaRDI QIDQ2583513
Publication date: 17 January 2006
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-005-4517-9
Black-Scholes modeldiffusion processesAsian optionmathematical financegeometric Brownian motionYor's formulaDufresne's formula
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Uses Software
Cites Work
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- On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- The value of an Asian option
- On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
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