On Some Exponential‐Integral Functionals of Bessel Processes

DOI10.1111/J.1467-9965.1993.TB00090.XMaRDI QIDQ4372012zbMATH OpenOpenAlexFDO

Authors Marc Yor

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00090.x

zbMATH Keywords

momentsmathematical financeAsian optionsexponential-integral functionals of Bessel processesvaluation of perpetuities

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• A decomposition of Bessel Bridges
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Cited in

(11)

• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• On the construction of measure-valued dual processes
• scientific article; zbMATH DE number 3938191 (Why is no real title available?)
• On certain integral functionals of squared Bessel processes
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• On the construction of Wiener integrals with respect to certain pseudo-Bessel processes
• Some perpetual integral functionals of the three-dimensional Bessel process
• Persistence and exit times for some additive functionals of skew Bessel processes
• Asymmetric skew Bessel processes and their applications to finance
• scientific article; zbMATH DE number 2213810 (Why is no real title available?)
• scientific article; zbMATH DE number 1500586 (Why is no real title available?)

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