Pricing vulnerable path-dependent options using integral transforms (Q344273): Difference between revisions

@@ Property / author @@
+Myungjoo Kang
@@ Property / author: Myungjoo Kang / rank @@
+Normal rank
@@ 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/10.1016/j.cam.2016.09.024
+Normal rank
@@ Property / OpenAlex ID @@
+W2527224502
@@ Property / OpenAlex ID: W2527224502 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a stochastic volatility model
+Normal rank
@@ Property / cites work @@
+QUANTO LOOKBACK OPTIONS
@@ Property / cites work: QUANTO LOOKBACK OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / cites work @@
+Mellin transform method for European option pricing with Hull-White stochastic interest rate
+Normal rank
@@ Property / cites work @@
+Valuing vulnerable geometric Asian options
@@ Property / cites work: Valuing vulnerable geometric Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+An integral equation representation approach for valuing Russian options with a finite time horizon
+Normal rank
@@ Property / cites work @@
+A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
+Normal rank
@@ Property / cites work @@
+An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q5437427
@@ Property / cites work: Q5437427 / rank @@
+Normal rank