Approximate counting is an algorithm proposed by R. Morris which makes it possible to keep approximate counts of large numbers in small counters. The algorithm is useful for gathering statistics of a large number of events as well as for applications related to data compression (Todd et al.). We provide here a complete analysis of approximate counting which establishes good convergence properties of the algorithm and allows to quantify precisely complexity-accuracy tradeoffs. Introduction. As shown by an easy information-theoretic argument, maintaining a counter whose values may range in the interval 1 to M essentially necessitates log,M bits. This lower bound is of course achieved by a 1 standard binary counter. R. Morris [8] has proposed a probabilistic algorithm that maintains an

Arithmetic functions related to number representation systems exhibit various periodicity phenomena. For instance, a well known theorem of Delange expresses the total number of ones in the binary representations of the first n integers in terms of a periodic fractal function. We show that such periodicity phenomena can be analyzed rather systematically using classical tools from analytic number theory, namely the Mellin-Perron formulae. This approach yields naturally the Fourier series involved in the expansions of a variety of digital sums related to number representation systems.

In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced in [D] to computing the negative moments of Yor’s accumulation processes for which functional recursion rules are given. Stressing the role of Theta functions, this paper now solves these recursion rules and expresses these negative moments as linear combinations of certain Theta integrals. Using the Jacobi transformation formula, very rapidly and very stably convergent series for them are derived. In this way a computable series for Black–Scholes price of the Asian option results which is numerically illustrated. Moreover, the Laguerre series approach of [D] is made rigorous, and extensions and modifications are discussed. The key for this is the analysis of the integrability and growth properties of the Asia density in [Y], basic problems which seem to be addressed here for the first time. 1. Introduction: Asian

Schröder Abstract. This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with [Y], these questions about exponential functionals of Brownian motion have been studied in terms of Bessel processes using the Hartman-Watson theory of [Y80]. Consequences of this approach for valuing Asian options proper have been spelled out in [GY] whose Laplace transform results were in fact regarded as a noted advance. Unfortunately, a number of difficulties with the key results of this last paper have surfaced which are now addressed in this paper. One of them in particular is of a principal nature and originates with the Hartman-Watson approach itself: this approach is in general applicable without modifications only if it does not involve Bessel processes of negative indices. The main mathematical contribution of this paper is the developement of three principal ways to overcome these restrictions, in particular by merging stochastics and complex analysis in what seems a novel way, and the discussion of their consequences for the valuation of Asian options proper.

Abstract. This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform ansatz of [Y] with complex analytic methods, which is the main methodological contribution of the paper. The one of our integrals has a similar structure to that obtained in [Y], while the other is in terms of Hermite functions as those of [Du01]. Performing or not performing a certain Girsanov transformation is identified as the source of these two forms of the laws. For exponents equal to 1 our results specialize to those obtained in [Y], but for exponents equal to minus 1 they give representations for the laws which are markedly different from those obtained in [Du01].

This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with [Y], these questions about exponential functionals of Brownian motion have been studied in terms of Bessel processes us- ing the Hartman-Watson theory of [Y80]. Consequences of this approach for valuing Asian options proper have been spelled out in [GY] whose Laplace transform results were in fact regarded as a noted advance. Unfortunately, a number of difficulties with the key results of this last paper have surfaced which are now addressed in this paper. One of them in particular is of a principal nature and originates with the Hartman-Watson approach itself: this approach is in general applicable without modifications only if it does not involve Bessel processes of negative indices. The main mathematical contribution of this paper is the developement of three principal ways to overcome these restrictions, in particular by merging stochastics and complex analysis in what seems a novel way, and the discussion of their consequences for the valuation of Asian options proper.

This paper addresses the valuation of the Paris barrier options of [CJY] using the Laplace transform approach. The notion of Paris options is extended such that their valuation is possible at any point during their lifespan. The Laplace transforms of [CJY] are modified when necessary, and their basic analytic properties are discussed. 1. Introduction: This paper is the first part of a report on the valuation of the Paris form of barrier options proposed in [CJY]. In their standard form European–style barrier options come as puts or calls that are activated or deactivated as soon as their underlying hits a prespecified barrier level. The new idea of the Paris barrier options for cushioning this abruptness is to introduce a systematic delay for these consequences of hitting the

Averaging problems are ubiquitous in Finance with the valuation of the so–called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been extensively studied by Yor and his school. However, the analytical structure of these problems is largely unstudied. Our philosophy now is that such valuation problems should be considered as an extension of the theory of special functions: they lead to new problems about new classes of special functions which should be studied in terms of and using of the methods of special functions and their theory. This is exemplified by deriving integral representations for the Black–Scholes prices based on Yor’s Laplace transform ansatz to their valuation. They are obtained by analytic Laplace inversion using complex analytic methods. The analysis ultimately rests on the gamma function which in this sense is found to be at the base of Asian options. The results improve on those of Yor and have served us a as starting point for deriving first time benchmark prices for these options. 1. Introduction: This