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On positive and negative moments of the integral of geometric Brownian motions

✍ Scribed by Catherine Donati-Martin; Hiroyuki Matsumoto; Marc Yor

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
94 KB
Volume
49
Category
Article
ISSN
0167-7152

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✦ Synopsis

We present explicit formulae for the positive and negative moments of an exponential Wiener functional, which is deΓΏned as the integral with respect to time of geometric Brownian motion and plays an important role in several ΓΏelds.

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