Methods for evaluating density functions of exponential functionals represented as integrals of geometric brownian motion

Methodology and Computing in Applied Probability

Volumn 7, Issue 3, 2005, Pages 271-283

  Ishiyama, Kazuyuki ^a  

^a NAGOYA UNIVERSITY   (Japan)

Author keywords

Asian option; Brownian motion; Yor's formula

Indexed keywords

EID: 28044449348     PISSN: 13875841     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11009-005-4517-9     Document Type: Article

References (15)

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