標(biāo)題: Titlebook: Exponential Functionals of Brownian Motion and Related Processes; Marc Yor Book 2001 Springer-Verlag Berlin Heidelberg 2001 Asian options. [打印本頁] 作者: whiplash 時間: 2025-3-21 19:51
書目名稱Exponential Functionals of Brownian Motion and Related Processes影響因子(影響力)
書目名稱Exponential Functionals of Brownian Motion and Related Processes影響因子(影響力)學(xué)科排名
書目名稱Exponential Functionals of Brownian Motion and Related Processes網(wǎng)絡(luò)公開度
書目名稱Exponential Functionals of Brownian Motion and Related Processes網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Exponential Functionals of Brownian Motion and Related Processes被引頻次
書目名稱Exponential Functionals of Brownian Motion and Related Processes被引頻次學(xué)科排名
書目名稱Exponential Functionals of Brownian Motion and Related Processes年度引用
書目名稱Exponential Functionals of Brownian Motion and Related Processes年度引用學(xué)科排名
書目名稱Exponential Functionals of Brownian Motion and Related Processes讀者反饋
書目名稱Exponential Functionals of Brownian Motion and Related Processes讀者反饋學(xué)科排名
作者: 現(xiàn)存 時間: 2025-3-21 20:50 作者: Bronchial-Tubes 時間: 2025-3-22 03:11
On Some Exponential Functionals of Brownian Motion,time interval [0, .]of the exponential of Brownian motion with drift is computed explicitly, with the help of computations previously made by the author for Bessel processes. The moments of this integral are obtained independently and take a particularly simple form. A subordination result involving作者: 用樹皮 時間: 2025-3-22 06:35 作者: 使虛弱 時間: 2025-3-22 09:51
Bessel Processes, Asian Options, and Perpetuities,d with three examples. . is a formula for the Laplace transform of an Asian option which is “out of the money.” . concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. . is the valuation of perpetuities or a作者: 課程 時間: 2025-3-22 16:50
From Planar Brownian Windings to Asian Options,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 作者: 課程 時間: 2025-3-22 19:25 作者: 倔強(qiáng)不能 時間: 2025-3-22 22:03
Exponential Functionals of Brownian Motion and Disordered Systems,nd one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.作者: INCH 時間: 2025-3-23 03:40
Book 2001ft, usually called: geometric Brownian motion, may be represented as: t ::::: 0, (2) where (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller‘s repre- sentation of a linear diffusion X in terms of Brownian作者: 苦笑 時間: 2025-3-23 05:45
Exponential Functionals of Brownian Motion and Related Processes作者: 碎石 時間: 2025-3-23 13:12 作者: definition 時間: 2025-3-23 15:52
1616-0533 (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller‘s repre- sentation of a linear diffusion X in terms of Brownian978-3-540-65943-3978-3-642-56634-9Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 盟軍 時間: 2025-3-23 18:52
Asymptotic Waveform Evaluation,andard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interest作者: Obstreperous 時間: 2025-3-23 22:39
978-3-540-65943-3Springer-Verlag Berlin Heidelberg 2001作者: 翻布尋找 時間: 2025-3-24 04:32
Exponential Functionals of Brownian Motion and Related Processes978-3-642-56634-9Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 翅膀拍動 時間: 2025-3-24 09:38
https://doi.org/10.1007/978-3-663-15924-7ariable. In this paper, it is shown that this result is another formulation of the distribution of last exit times for transient Bessel processes. A bivariate distribution of such integrals of exponentials is obtained explicitly.作者: capsule 時間: 2025-3-24 14:11 作者: Digest 時間: 2025-3-24 15:38
Beschreibung und diagnostische Kriterien exponential time, to the case where ξ belongs to a certain class of Lévy processes. Our method hinges on a bijection, introduced by Lamperti, between exponentials of Lévy processes and semi-stable Markov processes.作者: entreat 時間: 2025-3-24 22:46
https://doi.org/10.1007/978-4-431-55528-5nd one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.作者: Postulate 時間: 2025-3-25 01:42 作者: Abrade 時間: 2025-3-25 04:10 作者: fastness 時間: 2025-3-25 08:19
,On Exponential Functionals of Certain Lévy Processes, exponential time, to the case where ξ belongs to a certain class of Lévy processes. Our method hinges on a bijection, introduced by Lamperti, between exponentials of Lévy processes and semi-stable Markov processes.作者: inhumane 時間: 2025-3-25 14:58
Exponential Functionals of Brownian Motion and Disordered Systems,nd one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.作者: TRAWL 時間: 2025-3-25 16:45
Marc YorThese papers were so far available only in journals, several of them only in French..Collected together here in English, they are accompanied by a foreword by H. Geman, professor of Finance at the Uni作者: 商議 時間: 2025-3-25 21:47 作者: 組成 時間: 2025-3-26 00:45 作者: Visual-Acuity 時間: 2025-3-26 06:59
https://doi.org/10.1007/978-3-031-45994-8Let (B.,t ≥ 0) denote a real-valued Brownian motion starting from 0, and let . be a real.作者: Yag-Capsulotomy 時間: 2025-3-26 11:36
Psychische und Verhaltensst?rungen (F00–F99)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.作者: 分離 時間: 2025-3-26 13:05 作者: 防御 時間: 2025-3-26 19:11 作者: Debility 時間: 2025-3-26 23:50 作者: Spangle 時間: 2025-3-27 03:48 作者: 可能性 時間: 2025-3-27 06:53
Eigen- und Fremdkapitalinstrumenteetic Brownian motion (the mathematical definition of Brownian motion had not yet been given by N. Wiener) and provided for the first time the exact definition of an option as a financial instrument fully described by its terminal value. In his 1965 paper “Theory of Rational Warrant Pricing”, the eco作者: conference 時間: 2025-3-27 11:55 作者: helper-T-cells 時間: 2025-3-27 15:53 作者: 邊緣帶來墨水 時間: 2025-3-27 18:26
IBM Software Systems Integrationce of some financial options, so-called Asian options. A second equivalent formula is presented, which is the translation, in this context, of some intertwining properties of Bessel processes or confluent hypergeometric functions.作者: Tdd526 時間: 2025-3-27 23:42
Asymptotic Waveform Evaluation,d with three examples. . is a formula for the Laplace transform of an Asian option which is “out of the money.” . concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. . is the valuation of perpetuities or a作者: Grating 時間: 2025-3-28 04:45
Regulation and the Role of the AFBDthe 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 作者: Generalize 時間: 2025-3-28 07:36
Beschreibung und diagnostische Kriterien exponential time, to the case where ξ belongs to a certain class of Lévy processes. Our method hinges on a bijection, introduced by Lamperti, between exponentials of Lévy processes and semi-stable Markov processes.作者: indigenous 時間: 2025-3-28 10:44 作者: somnambulism 時間: 2025-3-28 17:28 作者: 僵硬 時間: 2025-3-28 21:39 作者: NATTY 時間: 2025-3-28 23:26
Functionals of Brownian Motion in Finance and in Insurance,nomist and Nobel prize winner Paul Samuelson, giving full recognition to Bachelier’s fondamental contribution, transformed the arithmetic Brownian motion into a geometric Brownian motion assumption to account for the fact that stock prices cannot take negative values.作者: Melanocytes 時間: 2025-3-29 06:56 作者: effrontery 時間: 2025-3-29 10:46 作者: JOT 時間: 2025-3-29 13:35
Book 2001als of Brownian motion and related processes, which have been, and still are, of interest, during at least the last decade, to researchers in Mathematical finance; - an introduction to the subject from the view point of Mathematical Finance by H. Geman. The origin of my interest in the study of expo作者: 物質(zhì) 時間: 2025-3-29 18:38 作者: radiograph 時間: 2025-3-29 23:02 作者: Noctambulant 時間: 2025-3-30 03:35
