A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.

Baker, David; Yor, Marc

Electronic Journal of Probability [electronic only] (2009)

  • Volume: 14, page 1532-1540
  • ISSN: 1083-589X

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Baker, David, and Yor, Marc. "A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.." Electronic Journal of Probability [electronic only] 14 (2009): 1532-1540. <http://eudml.org/doc/229218>.

@article{Baker2009,
author = {Baker, David, Yor, Marc},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {convex order; Brownian sheet; asian option; running average},
language = {eng},
pages = {1532-1540},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.},
url = {http://eudml.org/doc/229218},
volume = {14},
year = {2009},
}

TY - JOUR
AU - Baker, David
AU - Yor, Marc
TI - A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.
JO - Electronic Journal of Probability [electronic only]
PY - 2009
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 14
SP - 1532
EP - 1540
LA - eng
KW - convex order; Brownian sheet; asian option; running average
UR - http://eudml.org/doc/229218
ER -

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