A brownian sheet martingale with the same marginals as the arithmetic average of geometric brownian motion

Electronic Journal of Probability

Volumn 14, Issue , 2009, Pages 1532-1540

  Baker, D ^a   Yor, M ^a,b  

^a SORBONNE UNIVERSITÉ   (France)

^b INSTITUT UNIVERSITAIRE DE FRANCE   (France)

Author keywords

Asian option; Brownian sheet; Convex order; Running average

Indexed keywords

EID: 68449103869     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v14-674     Document Type: Article

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