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This paper studies the law of any real powers of the integral of geometric Brownian motion over finite time intervals. As its main results, an apparently new integral representation is derived and its interrelations with the integral representations for these laws originating by Yor and by Dufresne are established. In fact, our representation is found to furnish what seems to be a natural bridge between these other two representations. Our results are obtained by enhancing the Hartman-WatsonAnsatzof Yor, based on Bessel processes and the Laplace transform, by complex analytic techniques. Systematizing this idea in order to overcome the limits of Yor's theory seems to be the main methodological contribution of the paper.
Laplace transform, Probability (math.PR), 510, 91B28, Asian option, Mathematics - Classical Analysis and ODEs, Classical Analysis and ODEs (math.CA), FOS: Mathematics, 60J65, Algebraic Topology (math.AT), Mathematics - Algebraic Topology, Brownian motion, Diffusion processes, Mathematics - Probability, 60J65; 91B28
Laplace transform, Probability (math.PR), 510, 91B28, Asian option, Mathematics - Classical Analysis and ODEs, Classical Analysis and ODEs (math.CA), FOS: Mathematics, 60J65, Algebraic Topology (math.AT), Mathematics - Algebraic Topology, Brownian motion, Diffusion processes, Mathematics - Probability, 60J65; 91B28
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 23 | |
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influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Top 10% | |
impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Top 10% |