FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES (Q5462701): Difference between revisions

@@ Property / author @@
-Victor E. Vaugirard
@@ Property / author: Victor E. Vaugirard / rank @@
-Normal rank
@@ Property / author @@
+Victor E. Vaugirard
@@ Property / author: Victor E. Vaugirard / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+On modelling and pricing weather derivatives
@@ Property / cites work: On modelling and pricing weather derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal General Equilibrium Model of Asset Prices
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
+Normal rank
@@ Property / cites work @@
+Pricing Options With Curved Boundaries<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Valuing catastrophe bonds by Monte Carlo simulations
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024905003128
+Normal rank
@@ Property / OpenAlex ID @@
+W1981209449
@@ Property / OpenAlex ID: W1981209449 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5462701