Submitted:
22 October 2016
Posted:
24 October 2016
You are already at the latest version
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.
Keywords:
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
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
