Pricing American-style Parisian down-and-out call options (Q1735448): Difference between revisions

@@ Property / author @@
-Duy Minh Dang
@@ Property / author: Duy Minh Dang / rank @@
-Normal rank
@@ Property / author @@
+Duy Minh Dang
@@ Property / author: Duy Minh Dang / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2017.02.015
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@@ Property / OpenAlex ID @@
+W2593115344
@@ Property / OpenAlex ID: W2593115344 / rank @@
+Normal rank
@@ Property / cites work @@
+An integral equation approach for the valuation of American-style down-and-out calls with rebates
+Normal rank
@@ Property / cites work @@
+Brownian Excursions and Parisian Barrier Options
@@ Property / cites work: Brownian Excursions and Parisian Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Excursions height- and length-related stopping times, and application to finance
+Normal rank
@@ Property / cites work @@
+Default risk, bankruptcy procedures and the market value of life insurance liabilities
+Normal rank
@@ Property / cites work @@
+Perturbed Brownian motion and its application to Parisian option pricing
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@@ Property / cites work @@
+Pricing Parisian and Parasian options analytically
+Normal rank
@@ Property / cites work @@
+American Parisian options
@@ Property / cites work: American Parisian options / rank @@
+Normal rank
@@ Property / cites work @@
+An algorithm for the numerical inversion of Laplace transforms
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@@ Property / cites work @@
+Q4086107
@@ Property / cites work: Q4086107 / rank @@
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@@ Property / cites work @@
+A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
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+Q4935968
@@ Property / cites work: Q4935968 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3433874
@@ Property / cites work: Q3433874 / rank @@
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@@ Property / cites work @@
+Q3579791
@@ Property / cites work: Q3579791 / rank @@
+Normal rank
@@ Property / cites work @@
+Partial Differential Equations
@@ Property / cites work: Partial Differential Equations / rank @@
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@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+The representation of American options prices under stochastic volatility and jump-diffusion dynamics
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@@ Property / cites work @@
+American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1735448