NetNUMPAC

Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion. The purpose of this paper is to present a survey on Yor’s formula on the probability densities of the exponential functionals represented as integrals in time of geometric Brownian motions and to present results on numerical computations for the densities. We perform the computations via another formula for the densities obtained by Dufresne and we show numerically the desired coincidence in some cases. As an application, we compute the price of an Asian option.

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References in zbMATH (referenced in 6 articles )

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  1. Privault, Nicolas; Guindon, Stéphane: Closed form modeling of evolutionary rates by exponential Brownian functionals (2015)
  2. Privault, Nicolas; Uy, Wayne Isaac: Monte Carlo computation of the Laplace transform of exponential Brownian functionals (2013)
  3. Gerhold, Stefan: The Hartman-Watson distribution revisited: asymptotics for pricing Asian options (2011)
  4. Leonenko, N. N.; Ruiz-Medina, M. D.: Gaussian scenario for the heat equation with quadratic potential and weakly dependent data with applications (2008)
  5. Welch, John J.; Waxman, David: Calculating independent contrasts for the comparative study of substitution rates (2008)
  6. Ishiyama, Kazuyuki: Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion (2005)