Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

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Veröffentlicht in:Operations research letters
1. Verfasser: Pirjol, Dan (VerfasserIn)
Weitere Verfasser: Zhu, Lingjiong (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2023
Schlagworte:
Large deviations > Stochastic interest rates models > Dothan model > Geometric Brownian motion > Aufsatz in Zeitschrift
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