On Dufresne’s Translated Perpetuity and Some Black-Scholes Annuities
Analíti a
k
7
Revista de Análisis Estadístico
Journal of Statistical Analysis
[15] D. R
EVUZ AND
M. Y
OR
,
Continuous martingales and
Brownian motion
, vol. 293 of Grundlehren der Mat-
hematischen Wissenschaften [Fundamental Principles
of Mathematical Sciences], Springer-Verlag, Berlin,
third ed., 1999.
[16] P. S
ALMINEN AND
M. Y
OR
,
On Dufresne’s perpetuity,
translated and reflected
, in Stochastic processes and ap-
plications to mathematical finance, World Sci. Publ.,
River Edge, NJ, 2004, pp. 337–354.
[17]
,
Perpetual integral functionals as hitting and occu-
pation times
, Electron. J. Probab., 10 (2005), pp. no. 11,
371–419 (electronic).
[18] D. W
ILLIAMS
,
Path decomposition and continuity of lo-
cal time for one-dimensional diffusions. I
, Proc. London
Math. Soc. (3), 28 (1974), pp. 738–768.
[19] M. Y
OR
,
Loi de l’indice du lacet brownien, et distribu-
tion de Hartman-Watson
, Z. Wahrsch. Verw. Gebiete, 53
(1980), pp. 71–95.
Analítika,
Revista de análisis estadístico
, 4 (2014), Vol. 7(1): 7-19
17