Valuing vulnerable geometric Asian options (Q2006638): Difference between revisions

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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2015.12.038
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+W2278012108
@@ Property / OpenAlex ID: W2278012108 / 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 @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Mellin transform method for European option pricing with Hull-White stochastic interest rate
+Normal rank
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+A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
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@@ Property / cites work @@
+Pricing vulnerable path-dependent options using integral transforms
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@@ Property / cites work @@
+Q3075650
@@ Property / cites work: Q3075650 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Q5437427
@@ Property / cites work: Q5437427 / rank @@
+Normal rank