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

• Tipo: Artigo em Revista Científica Internacional
• Data: 2013

Autores

Semyon Yakubovich (Autor) FCUP

Revista

Título: Integral Transforms and Special Functions

Vol. 24

Páginas: 672-683

ISSN: 1065-2469

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 2 Citações

Scopus - 3 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Matemática

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 12