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Bessel processes, the integral of geometric Brownian motion, and Asian options
P. Carr, M. Schröder
Finance and Risk Engineering
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Keyphrases
Geometric Brownian Motion
100%
Asian Options
100%
Bessel Process
100%
Laplace Transform
25%
Stochastic Processes
25%
Watson
25%
Stochastic Analysis
25%
Mathematical Finance
25%
Complex Analysis
25%
Watson's Theory
25%
Exponential Functionals of Brownian Motion
25%
Negative Index
25%
Mathematics
American Option
100%
Friedrich Wilhelm Bessel
100%
Geometric Brownian Motion
100%
Stochastics
25%
Brownian Motion
25%
Laplace Transform
25%
Stochastic Process
25%
Functionals
25%
Mathematical Finance
25%
Complex Analysis
25%
Mathematical Contribution
25%
Economics, Econometrics and Finance
Mathematical Finance
25%