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Hitting distributions of geometric Brownian motion
7 references·0 citing·26 second hop
Hitting distributions of geometric Brownian motion (2006)Hitting distributions of geometric Browni…A survey and some generalizations of Bessel processes (2003)A survey and some generalizat…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities (2001)Non-symmetric hitting distrib…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…Sur certaines fonctionnelles exponentielles du mouvement brownien réel (1992)Sur certaines fonctionnelles …The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…A pricing method for options based on average asset values (1990)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Risk theory in a stochastic economic environment (1993)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Skorokhod embedding problem and its offspring (2004)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)A jump to default extended CEV model: an application of Bessel processes (2006)The Pricing of Options and Corporate Liabilities (1973)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Exponential functionals of Lévy processes (2005)Stochastic Differential Equations (2006)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws (2001)On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (2001)Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes (2005)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2003A survey and some generalizations of Bessel processes305 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel87 cited
  • 2001Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities31 cited

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