An affine property of the reciprocal Asian option process

Osaka Journal of Mathematics

Volumn 38, Issue 2, 2001, Pages 379-381

  Dufresne, Daniel ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001167174     PISSN: 00306126     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (6)

1. Dufresne, D.: The distribution of a perpetuity, with applications to risk theory and pension funding. Scand. Actuarial. J. (1990), 39-79.
2. Dufresne, D.: Algebraic properties of beta and gamma distributions, and applications. Adv. Appl. Math. 20 (1998), 285-299.
3. Dufresne, D.: Laguerre series for Asian and other options. To appear in Mathematical Finance.
4. Geman, H. and Yor, M.: Bessel processes, Asian options and perpetuities. Mathematical Finance 3 (1993), 349-375.
5. Vervaat, W.: On a stochastic difference equation and a representation of non-negative infinitely divisible random variables. Adv. Appl. Prob. 11 (1979), 750-783.
6. Yor, M.: Sur les lois des fonctionnelles exponentielles du mouvement brownien, considérées en certains instants aléatoires. C. R. Acad. Sci. Paris Série I 314 (1992), 951-956.