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On the integral of geometric Brownian motion
15 references·2 citing·33 second hop
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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
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  • 2001The integral of geometric Brownian motion132 cited
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  • 2001A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration39 cited
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  • 2003On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts

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28 cited

Cited by

  • 2006Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull–White model22 cited
  • 2005Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion20 cited