Another look at the integral of exponential Brownian motion and the pricing of Asian options
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Cites work
- scientific article; zbMATH DE number 1619468 (Why is no real title available?)
- scientific article; zbMATH DE number 1163906 (Why is no real title available?)
- scientific article; zbMATH DE number 1163909 (Why is no real title available?)
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- A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor
- An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
- An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Black-Scholes representation for Asian options
- Explicit stationary distributions for compositions of random functions and products of random matrices
- Exponential functionals of Brownian motion and class-one Whittaker functions
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- Exponential functionals of Brownian motion. II: Some related diffusion processes
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- Laguerre series for Asian and other options
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- Lower and upper bounds for prices of Asian-type options
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On positive and negative moments of the integral of geometric Brownian motions
- On some exponential functionals of Brownian motion
- On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
- Spectral Expansions for Asian (Average Price) Options
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- The Brownian escape process
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- The integral of geometric Brownian motion
- The value of an Asian option
- Weak convergence of random growth processes with applications to insurance
Cited in
(17)- Some asymptotic results for exponential functionals of Brownian motion
- On the distribution of the time-integral of the geometric Brownian motion
- The derivatives of Asian call option prices
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Another look at the Hartman-Watson distributions
- A note on switching property for squared Bessel process
- Integral representations for the Hartman-Watson density
- Geometric Brownian motion with affine drift and its time-integral
- Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- From planar Brownian windings to Asian options
- The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
- Functionals of exponential Brownian motion and divided differences
- 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
- Windings of planar processes, exponential functionals and Asian options
- scientific article; zbMATH DE number 7544430 (Why is no real title available?)
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