Asian Options Under One-Sided Lévy Models (Q5299562): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1994043704
@@ Property / OpenAlex ID: W1994043704 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential functionals of Lévy processes
@@ Property / cites work: Exponential functionals of Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4395532
@@ Property / cites work: Q4395532 / rank @@
+Normal rank
@@ Property / cites work @@
+Beta-gamma random variables and intertwining relations between certain Markov processes
+Normal rank
@@ Property / cites work @@
+Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
+Normal rank
@@ Property / cites work @@
+The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
+Normal rank
@@ Property / cites work @@
+Laguerre Series for Asian and Other Options
@@ Property / cites work: Laguerre Series for Asian and Other Options / rank @@
+Normal rank
@@ Property / cites work @@
+Equivalence of floating and fixed strike Asian and lookback options
+Normal rank
@@ Property / cites work @@
+Short Positions, Rally Fears and Option Markets
@@ Property / cites work: Short Positions, Rally Fears and Option Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy term structure models: no-arbitrage and completeness
+Normal rank
@@ Property / cites work @@
+Q4001128
@@ Property / cites work: Q4001128 / rank @@
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
@@ Property / cites work @@
+Present value distributions with applications to ruin theory and stochastic equations
+Normal rank
@@ Property / cites work @@
+On the equivalence of floating- and fixed-strike Asian options
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Q3215519
@@ Property / cites work: Q3215519 / rank @@
+Normal rank
@@ Property / cites work @@
+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
+Normal rank
@@ Property / cites work @@
+Tail asymptotics for exponential functionals of Lévy processes
+Normal rank
@@ Property / cites work @@
+Q4059363
@@ Property / cites work: Q4059363 / rank @@
+Normal rank
@@ Property / cites work @@
+q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
+Normal rank
@@ Property / cites work @@
+Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
+Normal rank
@@ Property / cites work @@
+Law of the exponential functional of one-sided Lévy processes and Asian options
+Normal rank
@@ Property / cites work @@
+Law of the absorption time of some positive self-similar Markov processes
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
+Normal rank
@@ Property / cites work @@
+On constructive complex analysis in finance: Explicit formulas for Asian options
+Normal rank
@@ Property / cites work @@
+Exponential functionals of Brownian motion and related processes
+Normal rank