Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options

E-ISSN： 1475-6064|49|2|446-480

ISSN： 0001-8678

Source： Advances in Applied Probability, Vol.49, Iss.2, 2017-06, pp. : 446-480

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Chernoff's Theorem and Discrete Time Approximations of Brownian Motion on Manifolds

By Smolyanov Oleg Weizsäcker Heinrich Wittich Olaf

Potential Analysis, Vol. 26, Iss. 1, 2007-02 ,pp. : 1-29

Springer Publishing Company

Access to resources Recommend Favorite

ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK

Probability in the Engineering and Informational Sciences, Vol. 31, Iss. 1, 2016-09 ,pp. : 100-120

Cambridge University Press

Access to resources Recommend Favorite

Brownian Motion Indexed by a Time Scale

By Grow David

Stochastic Analysis and Applications, Vol. 29, Iss. 3, 2011-05 ,pp. : 457-472

Taylor & Francis Ltd

Access to resources Recommend Favorite

Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$

By Nane Erkan

ESAIM: Probability and Statistics, Vol. 11, Iss. issue, 2007-03 ,pp. : 147-160

Edp Sciences

Access to resources Recommend Favorite

Vortex Motion and the Geometric Phase. Part I. Basic Configurations and Asymptotics

By Shashikanth B. N. Newton P. K.

Journal of Nonlinear Science, Vol. 8, Iss. 2, 1998-04 ,pp. : 183-214

Springer Publishing Company

Access to resources Recommend Favorite