Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Dan Pirjol, Lingjiong Zhu
| Year of publication: |
2023
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|---|---|
| Authors: | Pirjol, Dan ; Zhu, Lingjiong |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 51.2023, 3, p. 346-352
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| Subject: | Large deviations | Stochastic interest rates models | Dothan model | Geometric Brownian motion | Stochastischer Prozess | Stochastic process | Theorie | Theory |