Open AccessBessel processes, the integral of geometric Brownian motion, and Asian options
Author(s) -
Peter Carr,
Michael Schröder
Publication year - 2003
Publication title -
teoriâ veroâtnostej i ee primeneniâ
Language(s) - English
Resource type - Journals
eISSN - 2305-3151
pISSN - 0040-361X
DOI - 10.4213/tvp268
Subject(s) - bessel function , geometric brownian motion , brownian motion , bessel process , mathematics , business , mathematical analysis , diffusion process , statistics , marketing , classical orthogonal polynomials , gegenbauer polynomials , innovation diffusion , orthogonal polynomials