Titlebook: Exponential Functionals of Brownian Motion and Related Processes; Marc Yor Book 2001 Springer-Verlag Berlin Heidelberg 2001 Asian options.

碎石

definition

1616-0533 (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller‘s repre- sentation of a linear diffusion X in terms of Brownian978-3-540-65943-3978-3-642-56634-9Series ISSN 1616-0533 Series E-ISSN 2195-0687

盟軍

Asymptotic Waveform Evaluation,andard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interest

Obstreperous

978-3-540-65943-3Springer-Verlag Berlin Heidelberg 2001

翻布尋找

Exponential Functionals of Brownian Motion and Related Processes978-3-642-56634-9Series ISSN 1616-0533 Series E-ISSN 2195-0687

翅膀拍動

https://doi.org/10.1007/978-3-663-15924-7ariable. In this paper, it is shown that this result is another formulation of the distribution of last exit times for transient Bessel processes. A bivariate distribution of such integrals of exponentials is obtained explicitly.

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Digest

Beschreibung und diagnostische Kriterien exponential time, to the case where ξ belongs to a certain class of Lévy processes. Our method hinges on a bijection, introduced by Lamperti, between exponentials of Lévy processes and semi-stable Markov processes.

entreat

https://doi.org/10.1007/978-4-431-55528-5nd one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.

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