Carr, P.; Schröder, M. Bessel processes, the integral of geometric Brownian motion, and Asian options. (English) Zbl 1056.91026 Theory Probab. Appl. 48, No. 3, 400-425 (2003) and Teor. Veroyatn. Primen. 48, No. 3, 503-533 (2003). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 60G15 44A10 PDFBibTeX XMLCite \textit{P. Carr} and \textit{M. Schröder}, Theory Probab. Appl. 48, No. 3, 400--425 (2003; Zbl 1056.91026) Full Text: DOI arXiv
Carr, Peter; Schröder, Michael On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited. arXiv:math/0102080 Preprint, arXiv:math/0102080 [math.CA] (2001). MSC: 44A10 33C15 60G40 BibTeX Cite \textit{P. Carr} and \textit{M. Schröder}, ``On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited'', Preprint, arXiv:math/0102080 [math.CA] (2001) Full Text: arXiv