Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals (Q4819432): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Q4290908 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Path transformations of first passage bridges / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3756256 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3797994 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q2714356 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3271946 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4218372 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A cluster of great formulas / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Functionals of Brownian meander and Brownian excursion / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q5831457 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Brownian excursion multi-dimensional local time density / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Feynman-Kac formula and decomposition of Brownian paths / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3215519 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4892164 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3227729 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4896013 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q5687111 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Random Brownian scaling identities and splicing of Bessel processes / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The law of the maximum of a Bessel bridge / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4226355 / rank | |||
Normal rank | |||
Latest revision as of 21:03, 6 June 2024
scientific article; zbMATH DE number 2103342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals |
scientific article; zbMATH DE number 2103342 |
Statements
Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals (English)
0 references
24 September 2004
0 references
Brownian motion
0 references
Brownian supremum
0 references
Brownian local time
0 references
options with barriers and penalties
0 references
