Jiri Lipovsky
Univ. of Hradec Králové, Czech Republic

Davide Buoso
Politecnico di Torino

Fernanda Cipriano
Departamento de Matemática da Universidade Nova de Lisboa

Nicolas Privault
Nanyang Technological Univ., Singapore

Abstract: Using Doob transform techniques we will derive closed-form expectations for exponential functionals of Brownian motion in several settings, including Brownian motion on matrix Lie groups. We will also propose numerical approximations constructed by conditional moment matching and stochastic bridges, which turn out to be numerically more stable than closed form expressions.
Applications to option pricing will be mentioned.