4 citations · 6 across the 5 of their papers we have counts for
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math.PR2002
On the integral of geometric Brownian motion
Michael Schröder
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law a…
math.PR2002
Brownian excursions an Parisian barrier options: a note
Michael Schröder
This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, ba…
math.CA2002★ 4 cited
Analytical ramifications of derivatives valuation: Asian options and special functions
Michael Schröder
Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numer…