Additive subordination and its applications in finance (Q309162): Difference between revisions

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-Jing Li
@@ Property / author: Jing Li / rank @@
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+Jing Li
@@ Property / author: Jing Li / rank @@
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+J25
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+6624313
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@@ Property / zbMATH Keywords @@
+Bochner's subordination
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@@ Property / zbMATH Keywords @@
+time-inhomogeneous Markov processes
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+additive processes
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+semimartingales
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+spread options
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+Bivariate normal mixture spread option valuation
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+Lévy Processes and Stochastic Calculus
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+Processes of normal inverse Gaussian type
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+Feller processes of normal inverse Gaussian type
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+VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
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+THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
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+Pricing and Hedging Spread Options
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+Stochastic Volatility for Lévy Processes
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+A Theory of the Term Structure of Interest Rates
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+Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
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+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
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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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+Computing exponential moments of the discrete maximum of a Lévy process and lookback options
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+Dirichlet forms and symmetric Markov processes.
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+A Fourier Transform Method for Spread Option Pricing
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+Hypergeometric Orthogonal Polynomials and Their q-Analogues
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+Fast and accurate pricing of barrier options under Lévy processes
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+TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
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+Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
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+Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
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+Equivalent measure changes for subordinate diffusions
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+Closed Form Approximations for Spread Options
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+Publication:309162