On the Yor integral and a system of polynomials related to the Kontorovich-Lebedev transform

• Type: Article in International Scientific Journal
• Date: 2013

Authors

Semyon Yakubovich (Author) FCUP

Journal

Title: Integral Transforms and Special Functions

Vol. 24

Pages: 672-683

ISSN: 1065-2469

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 2 Citations

Scopus - 3 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-006-K25

DOI: 10.1080/10652469.2012.750312

Abstract (EN): 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. In addition, 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 behaviour for large values of their degree and explicit formula of coefficients.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 12