Preprint Review Version 1 NOT YET PEER-REVIEWED

Windings of Planar Processes and Applications to the Pricing of Asian Options

  1. Department of Mathematics and Statistics, University of Cyprus P.O. Box 20537, CY-1678 Nicosia, Cyprus
Version 1 : Received: 22 October 2016 / Approved: 24 October 2016 / Online: 24 October 2016 (04:57:32 CEST)

How to cite: Vakeroudis, S. Windings of Planar Processes and Applications to the Pricing of Asian Options. Preprints 2016, 2016100097 (doi: 10.20944/preprints201610.0097.v1). Vakeroudis, S. Windings of Planar Processes and Applications to the Pricing of Asian Options. Preprints 2016, 2016100097 (doi: 10.20944/preprints201610.0097.v1).

Abstract

Motivated by a common Mathematical Finance topic, this paper surveys several results concerning windings of 2-dimensional processes, including planar Brownian motion, complex-valued Ornstein-Uhlenbeck processes and planar stable processes. In particular, we present Spitzer's asymptotic Theorem for each case. We also relate this study to the pricing of Asian options.

Subject Areas

planar Brownian motion; complex-valued Ornstein-Uhlenbeck processes; Lévy~processes; Stable processes; windings; skew-product representation; Spitzer's Theorem; Bougerol's identity; Asian options; pricing

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