VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521): Difference between revisions

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-Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
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+Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2010.00469.x
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+W2318252431
@@ Property / OpenAlex ID: W2318252431 / rank @@
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
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+A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
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+CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
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+A fast algorithm for computing integrals in function spaces: Financial applications
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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@@ Property / cites work @@
+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+On several two-boundary problems for a particular class of Lévy processes
+Normal rank
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+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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@@ Property / cites work @@
+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+Option pricing when underlying stock returns are discontinuous
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+Pricing double barrier options using Laplace transforms
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+The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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