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On Some Exponential-Integral Functionals of Bessel Processes |
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| Authors: | Marc Yor |
| Affiliation: | Laboratoire de Probabilités, UniversitéParis VI, Paris Cedex 05, France. |
| Abstract: | This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options. |
| Keywords: | |