| 书目名称 | Exponential Functionals of Brownian Motion and Related Processes | | 编辑 | Marc Yor | | 视频video | | | 概述 | These papers were so far available only in journals, several of them only in French..Collected together here in English, they are accompanied by a foreword by H. Geman, professor of Finance at the Uni | | 丛书名称 | Springer Finance | | 图书封面 |  | | 描述 | This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes, which have been, and still are, of interest, during at least the last decade, to researchers in Mathematical finance; - an introduction to the subject from the view point of Mathematical Finance by H. Geman. The origin of my interest in the study of exponentials of Brownian motion in relation with mathematical finance is the question, first asked to me by S. Jacka in Warwick in December 1988, and later by M. Chesney in Geneva, and H. Geman in Paris, to compute the price of Asian options, i. e. : to give, as much as possible, an explicit expression for: (1) where A~v) = I~ dsexp2(Bs + liS), with (Bs,s::::: 0) a real-valued Brownian motion. Since the exponential process of Brownian motion with drift, usually called: geometric Brownian motion, may be represented as: t ::::: 0, (2) where (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller‘s repre sentation of a linear diffusion X in terms of Brownian | | 出版日期 | Book 2001 | | 关键词 | Asian options; Bessel functions; Bessel process; Bessel processes; Brownian motion; Lévy process; beta-gam | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-56634-9 | | isbn_softcover | 978-3-540-65943-3 | | isbn_ebook | 978-3-642-56634-9Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2001 |
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发表于 2025-3-21 19:51:44
