Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options

DOI10.1137/S0040585X97980543zbMath1056.91026arXivmath/0311280MaRDI QIDQ4830863

Michael Schröder, Peter Carr

Publication date: 16 December 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0311280

zbMATH Keywords

Laplace transformBessel processesAsian optionsintegral of geometric Brownian motioncomplex analytic methods in stochastics

Mathematics Subject Classification ID

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