Pages that link to "Item:Q2726726"
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The following pages link to The integral of geometric Brownian motion (Q2726726):
Displaying 50 items.
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (Q253095) (← links)
- Another look at the integral of exponential Brownian motion and the pricing of Asian options (Q331365) (← links)
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals (Q370901) (← links)
- Tail approximations of integrals of Gaussian random fields (Q428142) (← links)
- Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes (Q450031) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- Optimal importance sampling for continuous Gaussian fields (Q830273) (← links)
- Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model (Q857097) (← links)
- The Wiener disorder problem with finite horizon (Q860699) (← links)
- On the growth rate of a linear stochastic recursion with Markovian dependence (Q887092) (← links)
- Optimal importance sampling with explicit formulas in continuous time (Q928493) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Exit probability for an integrated geometric Brownian motion (Q1026332) (← links)
- Bounds for present value functions with stochastic interest rates and stochastic volatility. (Q1394966) (← links)
- Distribution of the integral of maximum processes and applications (Q1633562) (← links)
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval (Q1757249) (← links)
- Brownian analogues of Burke's theorem. (Q1766020) (← links)
- Exponential functionals of Brownian motion and class-one Whittaker functions (Q1944671) (← links)
- Interacting diffusions on positive definite matrices (Q2041651) (← links)
- Small-\(t\) expansion for the Hartman-Watson distribution (Q2065487) (← links)
- Integral representations for the Hartman-Watson density (Q2116476) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- Revisiting integral functionals of geometric Brownian motion (Q2197607) (← links)
- On the problems of sequential statistical inference for Wiener processes with delayed observations (Q2208379) (← links)
- On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
- A new mathematical model for pricing a mine extraction project (Q2286643) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion (Q2436060) (← links)
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields (Q2511562) (← links)
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (Q2583513) (← links)
- On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise (Q2800372) (← links)
- On the Density Functions of Integrals of Gaussian Random Fields (Q2837753) (← links)
- Volatile earnings growth, the price of earnings and the Value premium (Q3019506) (← links)
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585) (← links)
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914) (← links)
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
- On constructive complex analysis in finance: Explicit formulas for Asian options (Q3616463) (← links)
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
- A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line (Q4618067) (← links)
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
- The log-normal approximation in financial and other computations (Q4662236) (← links)
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
- Geometric bounds on certain sublinear functionals of geometric Brownian motion (Q4819504) (← links)
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075) (← links)
- Stochastic Life Annuities (Q5019716) (← links)
- (Q5082025) (← links)
- Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (Q5082731) (← links)
