The integral of geometric Brownian motion

By Daniel Dufresne. Advances in Applied Probability, 2001

66 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1b57d76fc1041fa7948a65727c624769192c09c3

How researchers see this paper

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In Economics and Econometrics

1. Daniel Dufresne

In Finance

1. Daniel Dufresne
2. Nengjiu Ju
3. Masaaki Kijima
4. Tony Siu Tung Wong

Citations in the corpus

• The log-normal approximation in financial and other computations (2004, background): “From Corollary 3.4 of Dufresne (2001b), with r = n = 1 in the first formula there, E ( 1 2A(µ+2)t )2 = e−(2µ+2)t [ (µ− 1)E ( 1 2A(µ)t ) + E ( 1 2A(µ)t )2] .”