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Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions

C.R. Acad. Sci., Paris, Sér. I 314 (1992), 471–474 (with Hélyette Geman)

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Exponential Functionals of Brownian Motion and Related Processes

Part of the book series: Springer Finance ((SFLN))

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Abstract

A closed formula is obtained for the Laplace transform of moments of certain exponential functionals of Brownian motion with drift, which give the price 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.

This note was presented by Paul-André Meyer.

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References

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Authors and Affiliations

  1. Laboratoire de Probabilités et Modèles Aléatoires, Université de Paris VI, 175, rue du Chevaleret, 75013, Paris, France

    Marc Yor

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  1. Marc Yor
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© 2001 Springer-Verlag Berlin Heidelberg

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Yor, M. (2001). Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions. In: Exponential Functionals of Brownian Motion and Related Processes. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56634-9_4

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  • DOI: https://doi.org/10.1007/978-3-642-56634-9_4

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-65943-3

  • Online ISBN: 978-3-642-56634-9

  • eBook Packages: Springer Book Archive

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