Another look at the integral of exponential Brownian motion and the pricing of Asian options
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Publication:331365
DOI10.1007/S00780-016-0307-1zbMATH Open1354.60087OpenAlexW2470801416MaRDI QIDQ331365FDOQ331365
Authors: Andrew Lyasoff 
Publication date: 27 October 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-016-0307-1
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Cites Work
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- The value of an Asian option
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Cited In (16)
- The derivatives of Asian call option prices
- Functionals of exponential Brownian motion and divided differences
- A note on switching property for squared Bessel process
- The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
- Another look at the Hartman-Watson distributions
- Integral representations for the Hartman-Watson density
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
- K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions
- Title not available (Why is that?)
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- From planar Brownian windings to Asian options
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- On the distribution of the time-integral of the geometric Brownian motion
- Geometric Brownian motion with affine drift and its time-integral
- Windings of planar processes, exponential functionals and Asian options
- Some asymptotic results for exponential functionals of Brownian motion
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