Functionals of exponential Brownian motion and divided differences

We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between the exponential Brownian motion and its time average, and we find that the use...

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Veröffentlicht in:	Journal of computational and applied mathematics 2011-09, Vol.236 (4), p.424-433
Hauptverfasser:	Baxter, B.J.C., Brummelhuis, R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Asian options Brownian motion Correlation coefficients Divided differences Finance Functionals Integrals Mathematical analysis Mathematical models Moments
Online-Zugang:	Volltext
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