Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon (Q1020596): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-008-9068-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2122048154
@@ Property / OpenAlex ID: W2122048154 / rank @@
+Normal rank
@@ Property / cites work @@
+On the pricing of options written on the last exit time
+Normal rank
@@ Property / cites work @@
+PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
+Normal rank
@@ Property / cites work @@
+Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
+Normal rank
@@ Property / cites work @@
+Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
+Normal rank
@@ Property / cites work @@
+Q4938946
@@ Property / cites work: Q4938946 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential models, brownian motion, and independence
+Normal rank
@@ Property / cites work @@
+Q4349251
@@ Property / cites work: Q4349251 / rank @@
+Normal rank