On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values

DOI10.1239/aap/1165414589zbMath1109.60068OpenAlexW4247139591MaRDI QIDQ3417914

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/1165414589

zbMATH Keywords

explicit valuation of an Asian optionLaguerre series methods for stochastic functionalsmoment formulae for the integral of geometric Brownian motion

Mathematics Subject Classification ID

Related Items (4)

On constructive complex analysis in finance: Explicit formulas for Asian options ⋮ Guiding the guiders: Foundations of a market-driven theory of disclosure ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak convergence of random growth processes with applications to insurance
• Tata lectures on theta. III
• On positive and negative moments of the integral of geometric Brownian motions
• Tata lectures on theta. I: Introduction and motivation: Theta functions in one variable. Basic results on theta functions in several variables. With the assistance of C. Musili, M. Nori, E. Previato, and M. Stillman
• Laguerre Series for Asian and Other Options
• The integral of geometric Brownian motion
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results
• Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
• On some exponential functionals of Brownian motion
• Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• On the integral of geometric Brownian motion
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• The value of an Asian option
• Spectral Expansions for Asian (Average Price) Options
• LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
• Tata lectures on theta. II: Jacobian theta functions and differential equations. With the collaboration of C. Musili, M. Nori, E. Previato, M. Stillman, and H. Umemura
• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
• Exponential functionals of Brownian motion and related processes

This page was built for publication: On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values