The integral of geometric Brownian motion

DOI10.1239/aap/999187905zbMath0980.60103OpenAlexW2045704034MaRDI QIDQ2726726

Daniel Dufresne

Publication date: 24 February 2002

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/999187905

zbMATH Keywords

Brownian motionAsian optionsBougerol's identity

Mathematics Subject Classification ID

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