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- W4300696515 abstract "In this paper we establish different representations of the so-called Yor integral, which is one of the key ingredient in mathematical finance, in particular, to compute normalized prices of Asian options. We show, that the Yor integral is related with the Kontorovich-Lebedev transform. Also we discuss its relationship with a system of polynomials recently introduced by the author. We derive new important properties of these polynomials, including upper bounds, an exact asymptotic behavior for large values of their degree and explicit formula of coefficients." @default.
- W4300696515 created "2022-10-04" @default.
- W4300696515 creator A5024798937 @default.
- W4300696515 date "2012-10-27" @default.
- W4300696515 modified "2023-09-25" @default.
- W4300696515 title "On the Yor integral and a system of polynomials related to the Kontorovich-Lebedev transform" @default.
- W4300696515 doi "https://doi.org/10.48550/arxiv.1210.7309" @default.
- W4300696515 hasPublicationYear "2012" @default.
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