Diffusion processes for density of the integral of the quadratic brownian bridge and Asian options
The first objective of this project is to study the density of the integral of the quadratic brownian motion/bridge. Densities for both time integrals are approximated by gamma and log-normal distributions using a conditional moment matching approach. The conditional density is multiplied by the nor...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
Nanyang Technological University
2021
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/148533 |