The following pages link to Double Lookbacks (Q2707192):
Displaying 33 items.
- Inference in a synchronization game with social interactions (Q301960) (← links)
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- A fast algorithm for numerical solutions to Fortet's equation (Q939562) (← links)
- Matching asymptotics in path-dependent option pricing (Q968852) (← links)
- Double barrier hitting time distributions with applications to exotic options (Q1276457) (← links)
- Pricing algorithms of multivariate path dependent options (Q1347857) (← links)
- The joint distribution of running maximum of a Slepian process (Q1739330) (← links)
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries (Q1794706) (← links)
- A note on the distribution of multivariate Brownian extrema (Q2019190) (← links)
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion (Q2027089) (← links)
- Proactive hedging European option pricing with a general logarithmic position strategy (Q2073577) (← links)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)
- Outside barrier lookback options with floating strike (Q2132059) (← links)
- On capital allocation for a risk measure derived from ruin theory (Q2138618) (← links)
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices (Q2140956) (← links)
- Closed form valuation of barrier options with stochastic barriers (Q2151659) (← links)
- A dynamic programming approach to path-dependent constrained portfolios (Q2159555) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities (Q2195954) (← links)
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment (Q2218827) (← links)
- Valuation of a repriceable executive stock option (Q2268392) (← links)
- Pricing of proactive hedging European option with dynamic discrete position strategy (Q2296440) (← links)
- A reflection principle for correlated defaults (Q2490052) (← links)
- Pricing credit default swaps with bilateral value adjustments (Q2879019) (← links)
- Joint law of an Ornstein–Uhlenbeck process and its supremum (Q3299450) (← links)
- PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS (Q3400130) (← links)
- QUANTO LOOKBACK OPTIONS (Q4673851) (← links)
- Extrema of multi-dimensional Gaussian processes over random intervals (Q5067212) (← links)
- Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment (Q6131370) (← links)
- PDE for the joint law of the pair of a continuous diffusion and its running maximum (Q6198067) (← links)
