The log-normal approximation in financial and other computations

Advances in Applied Probability

Volumn 36, Issue 3, 2004, Pages 747-773

  Dufresne, Daniel ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Asian option; Basket option; Brownian motion; Exponential functional of Brownian motion; Sums of log normal variables

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS; THEOREM PROVING;

ASIAN OPTION; BASKET OPTION; EXPONENTIAL FUNCTIONAL-OF-BROWNIAN MOTION; SUMS-OF-LOG NORMAL VARIABLES;

NORMAL DISTRIBUTION;

EID: 7444263641     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1093962232     Document Type: Article

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