Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Schröder, Michael
2003.
On the integral of geometric Brownian motion.
Advances in Applied Probability,
Vol. 35,
Issue. 1,
p.
159.
Schröder, Michael
2003.
On the integral of geometric Brownian motion.
Advances in Applied Probability,
Vol. 35,
Issue. 1,
p.
159.
Hariya, Yuu
and
Yor, Marc
2004.
On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof.
Statistics & Probability Letters,
Vol. 67,
Issue. 4,
p.
331.
Salminen, Paavo
and
Yor, Marc
2005.
Perpetual Integral Functionals as Hitting and Occupation Times.
Electronic Journal of Probability,
Vol. 10,
Issue. none,
Schröder, Michael
2005.
LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS.
Mathematical Finance,
Vol. 15,
Issue. 3,
p.
491.
Ishiyama, Kazuyuki
2005.
Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion.
Methodology and Computing in Applied Probability,
Vol. 7,
Issue. 3,
p.
271.
Gulisashvili, Archil
and
Stein, Elias M.
2006.
Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull–White model.
Comptes Rendus Mathematique,
Vol. 343,
Issue. 8,
p.
519.
Ostrovsky, Dmitry
2007.
Functional Feynman-Kac Equations for Limit Lognormal Multifractals.
Journal of Statistical Physics,
Vol. 127,
Issue. 5,
p.
935.
Bernard, Carole
Boyle, Phelim P.
and
Gornall, William
2009.
Fixed-Strike European Arithmetic Asian Options: A Comment.
SSRN Electronic Journal,
Gulisashvili, Archil
and
Stein, Elias M.
2010.
ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I.
Mathematical Finance,
Vol. 20,
Issue. 3,
p.
447.
Shaw, William T.
and
Schofield, Marcus
2015.
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback.
Quantitative Finance,
Vol. 15,
Issue. 6,
p.
975.
Palau, S.
and
Pardo, J.C.
2017.
Continuous state branching processes in random environment: The Brownian case.
Stochastic Processes and their Applications,
Vol. 127,
Issue. 3,
p.
957.
Li, Zenghu
and
Xu, Wei
2018.
Asymptotic results for exponential functionals of Lévy processes.
Stochastic Processes and their Applications,
Vol. 128,
Issue. 1,
p.
108.
Hariya, Yuu
2020.
On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable.
Stochastic Processes and their Applications,
Vol. 130,
Issue. 10,
p.
5999.
Hariya, Yuu
2022.
Integral Representations for the Hartman–Watson Density.
Journal of Theoretical Probability,
Vol. 35,
Issue. 1,
p.
209.
Hariya, Yuu
2022.
Extensions of Bougerol’s identity in law and the associated anticipative path transformations.
Stochastic Processes and their Applications,
Vol. 146,
Issue. ,
p.
311.
Demni, Nizar
2022.
Hartman-Watson distribution and hyperbolic-like heat kernels.
Bulletin des Sciences Mathématiques,
Vol. 174,
Issue. ,
p.
103098.
Arista, J.
and
Demni, N.
2022.
Explicit Expressions of the Hua--Pickrell Semigroup.
Theory of Probability & Its Applications,
Vol. 67,
Issue. 2,
p.
208.
Arista, Jonas
and
Demni, Nizar
2022.
Explicit expressions of the Hua-Pickrell semigroup.
Теория вероятностей и ее применения,
Vol. 67,
Issue. 2,
p.
264.