Windings of planar processes, exponential functionals and Asian options
DOI10.1017/apr.2018.33zbMath1444.60038arXiv1610.07030OpenAlexW2963644688WikidataQ115563912 ScholiaQ115563912MaRDI QIDQ5215022
No author found.
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.07030
Lévy processLévy measureinfinite divisibilityBessel clockAsian optionstable processplanar Brownian motionwindingBernstein functionBougerol's identityskew-product representation
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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