Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion

Kazuyuki Ishiyama ()
Additional contact information
Kazuyuki Ishiyama: Nagoya University

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 3, 271-283

Abstract: Abstract The purpose of this paper is to present a survey on Yor's formula on the probability densities of the exponential functionals represented as integrals in time of geometric Brownian motions and to present results on numerical computations for the densities. We perform the computations via another formula for the densities obtained by Dufresne and we show numerically the desired coincidence in some cases. As an application, we compute the price of an Asian option.

Keywords: Brownian motion; Asian option; Yor's formula (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-005-4517-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:7:y:2005:i:3:d:10.1007_s11009-005-4517-9

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-005-4517-9

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().