Economics - Research Publications

Permanent URI for this collection

http://hdl.handle.net/11343/417

Filters

2004 2
1 1 1
Reset filters

Settings
Statistics
Citations
Author: Dufresne, Daniel × End date: 2004 × Start date: 2004 × Type: Preprint ×

Search Results

Now showing 1 - 2 of 2
  • Item
    Thumbnail Image
    Bessel processes and a functional of Brownian motion
    DUFRESNE, DANIEL ( 2004-08)
    The goal of this paper is to give a concise account of the connection between Bessel processes and the integral of geometric Brownian motion. The latter appears in the pricing of Asian options. Bessel processes are defined and some of their properties are given. The known expressions for the probability density function of the integral of geometric Brownian motion are stated, and other related results are given, in particular the Geman &Y or (1993) Laplace transform for Asian option prices.
  • Item
    Thumbnail Image
    Bessel Processes and a Functional of Brownian Motion
    DUFRESNE, DANIEL ( 2004)
    The goal of this paper is to give a concise account of the connection between Besselprocesses and the integral of geometric Brownian motion. The latter appears in thepricing of Asian options. Bessel processes are defined and some of their propertiesare given. The known expressions for the probability density function of the integralof geometric Brownian motion are stated, and other related results are given, inparticular the Geman &Y or (1993) Laplace transform for Asian option prices.