The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments | springerprofessional.de

Springer Professional

nach oben

Erschienen in:

Kapitel lesen Erstes Kapitel lesen

2002 | OriginalPaper | Buchkapitel

The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments

verfasst von : Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor

Erschienen in: Mathematical Finance — Bachelier Congress 2000

Verlag: Springer Berlin Heidelberg

Enthalten in: Professional Book Archive

Zugang erhalten

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Part A of this paper is a transcript of the third author’s lecture at the Bachelier Conference, July 1st, 2000; it is a summary of our joint works on this topic.

Vorheriges Kapitel Spread Option Valuation and the Fast Fourier Transform

Nächstes Kapitel The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

Titel: The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments
verfasst von: Catherine Donati-Martin
Hiroyuki Matsumoto
Marc Yor
Verlag: Springer Berlin Heidelberg
Buch: Mathematical Finance — Bachelier Congress 2000
Print ISBN: 978-3-642-08729-5

Electronic ISBN: 978-3-662-12429-1

Copyright-Jahr: 2002
DOI: https://doi.org/10.1007/978-3-662-12429-1_11