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- W4243345384 abstract "The aim of this paper is to investigate discrete approximations of the exponential functional of Brownian motion (which plays an important role in Asian options of financial mathematics) with the help of simple, symmetric random walks. In some applications the discrete model could be even more natural than the continuous one. The properties of the discrete exponential functional are rather different from the continuous one: typically its distribution is singular with respect to Lebesgue measure, all of its positive integer moments are finite and they characterize the distribution. On the other hand, using suitable random walk approximations to Brownian motion, the resulting discrete exponential functionals converge almost surely to the exponential functional of Brownian motion; hence their limit distribution is the same as in the continuous case, namely that of the reciprocal of a gamma random variable, and so is absolutely continuous with respect to Lebesgue measure. In this way, we also give a new and elementary proof of an earlier result by Dufresne and Yor." @default.
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- W4243345384 date "2003-06-01" @default.
- W4243345384 modified "2023-10-09" @default.
- W4243345384 title "An exponential functional of random walks" @default.
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- W4243345384 doi "https://doi.org/10.1017/s0021900200019392" @default.
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