An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
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References listed on IDEAS
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375.
- M. Schroder & P. Carr, 2003. "Bessel processes, the integral of geometric Brownian motion, and Asian options," Papers math/0311280, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
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