On positive and negative moments of the integral of geometric Brownian motions
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Cited by:
- De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002.
"Bounds for present value functions with stochastic interest rates and stochastic volatility,"
Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
- DE SCHEPPER, Ann & GOOVAERTS, Marc & DHAENE, Jan & KAAS, Rob & VYNCKE, David, 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Business and Economics.
- Ghomrasni, Raouf & Graversen, Svend Erik, 2002. "An extension of Seshadri's identities for Brownian motion," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 379-384, October.
- Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
- Hariya, Yuu, 2024. "Invariance of Brownian motion associated with exponential functionals," Stochastic Processes and their Applications, Elsevier, vol. 167(C).
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Keywords
Moments Geometric Brownian motion Mathematical finance Disordered system Hyperbolic Brownian motion;Statistics
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