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On Some Exponential‐Integral Functionals of Bessel Processes
Author(s) -
Yor Marc
Publication year - 1993
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1993.tb00090.x
Subject(s) - perpetuity , bessel function , exponential function , bessel process , mathematics , valuation (finance) , exponential integral , mathematical economics , econometrics , economics , integral equation , mathematical analysis , finance , volume integral , classical orthogonal polynomials , gegenbauer polynomials , orthogonal polynomials
This paper studies the moments of some exponential‐integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.