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On Some Exponential‐Integral Functionals of Bessel Processes

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  • Marc Yor

Abstract

This paper studies the moments of some exponential‐integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.

Suggested Citation

  • Marc Yor, 1993. "On Some Exponential‐Integral Functionals of Bessel Processes," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 231-240, April.
    • Handle: RePEc:bla:mathfi:v:3:y:1993:i:2:p:231-240
    DOI: 10.1111/j.1467-9965.1993.tb00090.x
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    References listed on IDEAS

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    1. Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
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    Cited by:

    1. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
    2. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 25, July-Dece.

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