Available in electronic format
Available in print format
Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826 (e) ISSN 0002-9939 (p)
     

Moment generating function of the reciprocal of an integral of geometric Brownian motion

Author(s): Kyounghee Kim
Journal: Proc. Amer. Math. Soc. 132 (2004), 2753-2759.
MSC (2000): Primary 60J65; Secondary 60G35
Posted: April 21, 2004
Retrieve article in: PDF

Abstract | References | Similar articles | Additional information

Abstract: In this paper we obtain a simple, explicit integral form for the moment generating function of the reciprocal of the random variable defined by $ A^{(\nu)}_t := \int ^t _0 \exp (2B_s + 2 \nu s) ds $, where $B_s$, $s>0$, is a one-dimensional Brownian motion starting from 0. In case $\nu = 1 $, the moment generating function has a particularly simple form.


References:

1.
R. Bhattacharya, E. Thomann, E. Waymire (2001): A note on the distribution of integrals of geometric Brownian motion, Statist. Probab. Lett. 55, 187-192. MR 2002j:60147

2.
P. Bougerol (1983): Exemples de théorèmes locaux sur les groups résolubles, Ann. Inst. H. Poincaré Sect. B (N.S.) 19, 369-391. MR 84g:60013

3.
H. Geman, M. Yor (1993): Bessel processes, Asian options and perpetuities, Math. Finance 3, 349-375.

4.
V.W. Goodman, K. Kim (2002) : Interest Rate Derivatives within A non-explosive Log Normal Bond Model, working paper

5.
L.C.G. Rogers and Z. Shi (1995): The value of an Asian option, J. Appl. Probab. 32, 1077-1088. MR 96j:90017

6.
M. Yor (1992): On some exponential functionals of Brownian motion, Adv. in Appl. Probab.24, 509-531. MR 94b:60095

Similar Articles:

Retrieve articles in Proceedings of the American Mathematical Society with MSC (2000): 60J65, 60G35

Retrieve articles in all Journals with MSC (2000): 60J65, 60G35


Additional Information:

Kyounghee Kim
Affiliation: Department of Mathematics, Syracuse University, Syracuse, New York 13244
Email: kkim26@syr.edu

DOI: 10.1090/S0002-9939-04-07449-0
PII: S 0002-9939(04)07449-0
Keywords: Geometric Brownian motion, Asian options, moment generating functions
Received by editor(s): December 13, 2002
Received by editor(s) in revised form: July 18, 2003
Posted: April 21, 2004
Communicated by: Richard C. Bradley
Copyright of article: Copyright 2004, American Mathematical Society


  AMS Website Logo Small Comments: webmaster@ams.org
© Copyright 2009, American Mathematical Society
Privacy Statement
Search the AMSPowered by Google