On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

DOI10.1239/aap/1165414588zbMath1124.65012OpenAlexW4241074360MaRDI QIDQ3417913

Michael Schröder

Publication date: 31 January 2007

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

Full work available at URL: https://doi.org/10.1239/aap/1165414588

zbMATH Keywords

stochastic integralsexponential functionals of Brownian motionLaguerre reduction seriesladder height densityLaguerre series methods for stochastic functionalsvaluation of Asian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Applications of hypergeometric functions (33C90)

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On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type ⋮ Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

Cites Work

• Non-Gaussian scenarios for the heat equation with singular initial conditions
• Laguerre Series for Asian and Other Options
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
• LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
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