On some exponential functionals of Brownian motion
From MaRDI portal
Publication:4014074
Recommendations
- Exponential functionals of Brownian motion and related processes
- Some asymptotic results for exponential functionals of Brownian motion
- Exponential functionals of Brownian motion. II: Some related diffusion processes
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- On an imaginary exponential functional of Brownian motion
- Functionals of exponential Brownian motion and divided differences
- scientific article; zbMATH DE number 1163906
Cited in
(only showing first 100 items - show all)- Some asymptotic results for exponential functionals of Brownian motion
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
- The distributions of annuities
- On the distribution of the time-integral of the geometric Brownian motion
- The spectral expansion approach to index transforms and connections with the theory of diffusion processes
- Remarks on the methodology introduced by Goovaerts et al
- On Bougerol and Dufresne's identities for exponential Brownian functionals
- On the growth rate of a linear stochastic recursion with Markovian dependence
- EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
- Two stock options at the races: Black–Scholes forecasts
- On an ordering-dependent generalization of the Tutte polynomial
- A note on the distribution of integrals of geometric Brownian motion
- Geometric Brownian motion with affine drift and its time-integral
- Poisson kernels of half-spaces in real hyperbolic spaces
- On the Yor integral and a system of polynomials related to the Kontorovich-Lebedev transform
- On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
- A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
- Horizontal lift of the Brownian motion on the hyperbolic plane and the Selberg trace formula
- On the distribution of extended CIR model
- scientific article; zbMATH DE number 64899 (Why is no real title available?)
- From planar Brownian windings to Asian options
- On the tail probabilities of aggregated lognormal random fields with small noise
- Quantifying risks with exact analytical solutions of derivative pricing distribution
- A second order stochastic differential equation for the force of interest
- The moment problem for some Wiener functionals: corrections to previous proofs (with an appendix by H. L. Pedersen)
- scientific article; zbMATH DE number 1619473 (Why is no real title available?)
- The Brownian motion on \(\operatorname{Aff}(\mathbb{R})\) and quasi-local theorems
- Martingales, scale functions and stochastic life annuities: A note
- Finite-time blow-up of a non-local stochastic parabolic problem
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
- Closed form modeling of evolutionary rates by exponential Brownian functionals
- On the problems of sequential statistical inference for Wiener processes with delayed observations
- Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions
- scientific article; zbMATH DE number 6400800 (Why is no real title available?)
- On the density functions of integrals of Gaussian random fields
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
- An analytical inversion of a Laplace transform related to annuities certain
- On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof
- A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
- Real-world pricing for a modified constant elasticity of variance model
- Hedging for the long run
- Explicit characterizations of financial prices with history-dependent utility
- Exponential models, brownian motion, and independence
- Intrinsic expansions for averaged diffusion processes
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
- Tube estimates for diffusion processes under a weak Hörmander condition
- Bougerol's identity in law and extensions
- An exponential functional of random walks
- On the non-equilibrium density of geometric mean reversion
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- Risk-sensitive asset management with lognormal interest rates
- Supermodular ordering and stochastic annuities
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
- On the evaluation of an integral involving the Whittaker \(W\) function
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Function space integration for annuities.
- Distributions for the risk process with a stochastic return on investments.
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Present value distributions with applications to ruin theory and stochastic equations
- Lower bounds for densities of Asian type stochastic differential equations
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Exponential functionals of Brownian motion. II: Some related diffusion processes
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
- Optimal asset allocation in life annuities: a note.
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- Beta-gamma algebra identities and Lie-theoretic exponential functionals of Brownian motion
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- The Lamperti representation of real-valued self-similar Markov processes
- On constructive complex analysis in finance: Explicit formulas for Asian options
- Markov limits of steady states of the KPZ equation on an interval
- Multiplicateurs de Mikhlin pour une classe particulière de groupes non-unimodulaires. (Mikhlin multipliers for a particular class of non-unimodular groups.)
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Properties of perpetual integral functionals of Brownian motion with drift
- Closed form formulae for the heat kernels and the Green functions for the Laplacians on the symmetric spaces of rank one
- A note on switching property for squared Bessel process
- Contingent claims on assets with conversion costs.
- Cascades of particles moving at finite velocity in hyperbolic spaces
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- On the topological boundary of the range of super-Brownian motion
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- PASSPORT OPTIONS
- In the insurance business risky investments are dangerous: the case of negative risk sums
- scientific article; zbMATH DE number 3909449 (Why is no real title available?)
- Prices and sensitivities of Asian options: A survey
- Random motions at finite velocity in a non-Euclidean space
- On the renewal risk process with stochastic interest
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes
- Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- Ruin probabilities and penalty functions with stochastic rates of interest
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- Marginal distribution of some path-dependent stochastic volatility model
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- Geodesics and flows in a Poissonian city
This page was built for publication: On some exponential functionals of Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4014074)