Maccone third KLT theorem: Asymptotic KLT of GBM

Chapter
Part of the Springer Praxis Books book series (PRAXIS)

Abstract

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).

Keywords

Brownian Motion Asymptotic Expansion Bessel Function Geometric Brownian Motion Expansion Formula 
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Reference

  1. 1.
    G. N. Watson, A Treatise on the Theory of Bessel Functions, Cambridge University Press, 1966Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.International Academy of Astronautics and Istituto Nazionale di AstrofisicaTorino (Turin)Italy

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