A note on the distribution of integrals of geometric Brownian motion

Statistics and Probability Letters

Volumn 55, Issue 2, 2001, Pages 187-192

  Bhattacharya, Rabi ^a   Thomann, Enrique ^b   Waymire, Edward ^b  

^a INDIANA UNIVERSITY   (United States)

^b OREGON STATE UNIVERSITY   (United States)

Author keywords

Asian options; Geometric Brownian motion; Turbulence

Indexed keywords

EID: 0000860630     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(01)00117-1     Document Type: Article

References (6)

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2. Bougerol, P., 1983. Exemples de Théorémes Locaux sur les Groupes Résolubles. Ann. Inst. H. Poincaré 19, 369-391.
3. Carmona, P., Petit, F., Yor, M., 1997. On the distribution and asymptotic results for exponential functionals of Lévy processes. In: Yor, M. (Ed.), Exponential Functionals and Principal Values related to Brownian motion. Revista mtematica Iberoamericana, pp. 73-121.
4. Monthus, C., Comtet, A., 1994. On the flux distribution in a one-dimensional disordered system. J. Phys. I France 4, 635-653.
5. Rogers, L.C.G., Shi, Z., 1995. The value of an Asian option. J. Appl. Probab. 32, 1077-1088.
6. Yor, M., 1992. On some exponential functionals of Brownian motion. Adv. Appl. Probab. (Suppl.) 24, 509-531.