On positive and negative moments of the integral of geometric Brownian motions

Catherine Donati-Martin, Hiroyuki Matsumoto and Marc Yor

Statistics & Probability Letters, 2000, vol. 49, issue 1, 45-52

Abstract: We present explicit formulae for the positive and negative moments of an exponential Wiener functional, which is defined as the integral with respect to time of geometric Brownian motion and plays an important role in several fields.

Keywords: Moments; Geometric; Brownian; motion; Mathematical; finance; Disordered; system; Hyperbolic; Brownian; motion (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (4)

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