Bessel Processes and a Functional of Brownian Motion
University of Melbourne Author/sDufresne, Daniel
AffiliationEconomics and Commerce: Centre for Actuarial Studies
CitationsDufresne, Daniel (2004) Bessel Processes and a Functional of Brownian Motion.
Access StatusOpen Access
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.
KeywordsIGBM; Bessel processes
- Click on "Export Reference in RIS Format" and choose "open with... Endnote".
- Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References