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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
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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 , where , , is a one-dimensional Brownian motion starting from 0. In case , the moment generating function has a particularly simple form.
References:
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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
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