Abstract
We obtain the Laplace transform and integrability properties of the integral over ℝ+ of the call quantity associated with the geometric Brownian motion with negative drift, thus adding a new element to the list of already studied Brownian perpetuities.
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© 2010 Springer-Verlag Berlin Heidelberg
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Profeta, C., Roynette, B., Yor, M. (2010). An Interesting Family of Black-Scholes Perpetuities. In: Option Prices as Probabilities. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-10395-7_4
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DOI: https://doi.org/10.1007/978-3-642-10395-7_4
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-10394-0
Online ISBN: 978-3-642-10395-7
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