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From Planar Brownian Windings to Asian Options

Insurance: Mathematics and Economics 13 (1993), 23–34

  • Chapter
Exponential Functionals of Brownian Motion and Related Processes

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

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Abstract

It is shown how results presented in Insurance: Mathematics and Economics 11, no. 4, in several papers by De Schepper, Goovaerts, Delbaen and Kaas, concerning the arithmetic average of 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 being used in an essential way, and helps to clarify the role of some Bessel functions computations in several formulae.

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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). From Planar Brownian Windings to Asian Options. In: Exponential Functionals of Brownian Motion and Related Processes. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56634-9_8

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  • DOI: https://doi.org/10.1007/978-3-642-56634-9_8

  • 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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