An extension of Seshadri's identities for Brownian motion
In this note we extend and clarify some identities in law for Brownian motion proved by Seshadri (Canad. J. Statist. 16 (1988) 209) using a new identity in law obtained by Matsumoto and Yor (Proc. Japan Acad. Ser. A Math. Sci. 74 (1998) 152).
Year of publication: |
2002
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Authors: | Ghomrasni, Raouf ; Graversen, Svend Erik |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 59.2002, 4, p. 379-384
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Publisher: |
Elsevier |
Keywords: | Brownian motion Brownian functional Asian option |
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