Maccone third KLT theorem: Asymptotic KLT of GBM
Geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion. It is used in mathematical finance to model stock prices in the Black–Scholes model (see http://en.wikipedia.org/wiki/ Geometric_Brownian_motion).
KeywordsBrownian Motion Asymptotic Expansion Bessel Function Geometric Brownian Motion Expansion Formula
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