  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. Also 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 behavior for large values of their degree and
explicit formula of coefficients.
