Add to ORKGWe obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
We present explicit formulae for the positive and negative moments of an exponential Wiener function...
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on th...
Using Bessel processes, one can solve several open problems involving the integral of an exponential...
Arithmetic Asian or average price options deliver payoffs based on the average underlying price over...
The goal of this paper is to give a concise account of the connection between Besselprocesses and th...
We consider exponential functionals of a Brownian motion with drift in Rn, defined via a collection ...
Under the (weak) assumption of a Markovian underlying price process, an alternative and intuitive ch...
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum...
AbstractWe provide a surprising new application of classical approximation theory to a fundamental a...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
The distribution of the Æ-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
In this article we propose a method to compute the density of the arithmetic average of a Markov pro...
In this paper, we study the excursion times of a Brownian motion with drift below and above a given ...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
We present explicit formulae for the positive and negative moments of an exponential Wiener function...
One method to compute the price of an arithmetic Asian option in a Lévy driven model is based on th...
Using Bessel processes, one can solve several open problems involving the integral of an exponential...
Arithmetic Asian or average price options deliver payoffs based on the average underlying price over...
The goal of this paper is to give a concise account of the connection between Besselprocesses and th...
We consider exponential functionals of a Brownian motion with drift in Rn, defined via a collection ...
Under the (weak) assumption of a Markovian underlying price process, an alternative and intuitive ch...
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum...
AbstractWe provide a surprising new application of classical approximation theory to a fundamental a...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
The distribution of the Æ-quantile of a Brownian motion on an interval [0, t] has been obtained moti...
In this article we propose a method to compute the density of the arithmetic average of a Markov pro...
In this paper, we study the excursion times of a Brownian motion with drift below and above a given ...
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximu...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
We present explicit formulae for the positive and negative moments of an exponential Wiener function...