FROM PLANAR BROWNIAN WINDINGS TO ASIAN OPTIONS

Authors
YOR M
Citation
M. Yor, FROM PLANAR BROWNIAN WINDINGS TO ASIAN OPTIONS, Insurance. Mathematics & economics, 13(1), 1993, pp. 23-34
Citations number
19
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
13
Issue
1
Year of publication
1993
Pages
23 - 34
Database
ISI
SICI code
0167-6687(1993)13:1<23:FPBWTA>2.0.ZU;2-Y
Abstract
It is shown how results presented in Insurance: Mathematics and Econom ics 11, no. 4, in several papers by De Schepper, Goovaerts, Delbaen an d Kaas, concerning the arithmetic average of the exponential of Browni an motion with drift [which plays an essential role in Asian options, and has also been studied by the author, jointly with H. Geman] are re lated to computations about winding numbers of planar Brownian motion. Furthermore, in the present paper, Brownian excursion theory is being used in an essential way, and helps to clarify the role of some Besse l functions computations in several formulae.