An extension of Seshadri's identities for Brownian motion

Raouf Ghomrasni and Svend Erik Graversen

Statistics & Probability Letters, 2002, vol. 59, issue 4, 379-384

Abstract: In this note we extend and clarify some identities in law for Brownian motion proved by Seshadri (Canad. J. Statist. 16 (1988) 209) using a new identity in law obtained by Matsumoto and Yor (Proc. Japan Acad. Ser. A Math. Sci. 74 (1998) 152).

Keywords: Brownian; motion; Brownian; functional; Asian; option (search for similar items in EconPapers)
Date: 2002
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