FROM PLANAR BROWNIAN WINDINGS TO ASIAN OPTIONS

被引：17

作者：

YOR, M

机构：

[1] Université Paris VI, Paris

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 13卷 / 01期

关键词：

BESSEL PROCESSES; COMPLEX BROWNIAN MOTION; EXCURSION THEORY; ASIAN OPTIONS; WINDING NUMBER;

D O I：

10.1016/0167-6687(93)90531-S

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is shown how results presented in Insurance: Mathematics and Economics 11, no. 4, in several papers by De Schepper, Goovaerts, Delbaen and Kaas, concerning the arithmetic average of the exponential of Brownian motion with drift [which plays an essential role in Asian options, and has also been studied by the author, jointly with H. Geman] are related to computations about winding numbers of planar Brownian motion. Furthermore, in the present paper, Brownian excursion theory is being used in an essential way, and helps to clarify the role of some Bessel functions computations in several formulae.

引用

页码：23 / 34

页数：12

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