On Some Exponential‐Integral Functionals of Bessel Processes

DOI10.1111/J.1467-9965.1993.TB00090.XzbMATH Open0884.90056OpenAlexW2119025174MaRDI QIDQ4372012FDOQ4372012

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

Cites Work

• Title not available (Why is that?)
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• A decomposition of Bessel Bridges

Cited In (7)

• On the construction of measure-valued dual processes
• Persistence and exit times for some additive functionals of skew Bessel processes
• Some perpetual integral functionals of the three-dimensional Bessel process
• Title not available (Why is that?)
• On the construction of Wiener integrals with respect to certain pseudo-Bessel processes
• Title not available (Why is that?)
• Asymmetric skew Bessel processes and their applications to finance

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