An Interesting Family of Black-Scholes Perpetuities

Christophe Profeta (), Bernard Roynette () and Marc Yor
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Christophe Profeta: Université Nancy I
Bernard Roynette: Université Nancy I
Marc Yor: Université Paris VI

Chapter Chapter 4 in Option Prices as Probabilities, 2010, pp 89-113 from Springer

Abstract: Abstract We obtain the Laplace transform and integrability properties of the integral over ℝ+ of the call quantity associated with the geometric Brownian motion with negative drift, thus adding a new element to the list of already studied Brownian perpetuities.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-10395-7_4

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DOI: 10.1007/978-3-642-10395-7_4

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