Tempered stable process, first passage time, and path-dependent option pricing (Q1722755): Difference between revisions

@@ Property / DOI @@
-.1007/s10287-018-0326-9
@@ Property / DOI: 10.1007/s10287-018-0326-9 / rank @@
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@@ Property / OpenAlex ID @@
+W3101063493
@@ Property / OpenAlex ID: W3101063493 / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Feller processes of normal inverse Gaussian type
@@ Property / cites work: Feller processes of normal inverse Gaussian type / rank @@
+Normal rank
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+Q2738733
@@ Property / cites work: Q2738733 / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
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+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+Barrier option under Lévy model: a PIDE and Mellin transform approach
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+The \(\beta\)-Meixner model
@@ Property / cites work: The \(\beta\)-Meixner model / rank @@
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+On the First Passage time for Brownian Motion Subordinated by a Lévy Process
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+Tempered stable structural model in pricing credit spread and credit default swap
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+The relative entropy in CGMY processes and its applications to finance
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+Quanto option pricing in the presence of fat tails and asymmetric dependence
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+Q3083935
@@ Property / cites work: Q3083935 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
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@@ Property / Wikidata QID @@
+Q129649527
@@ Property / Wikidata QID: Q129649527 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S10287-018-0326-9
@@ Property / DOI: 10.1007/S10287-018-0326-9 / rank @@
+Normal rank