A comprehensive mathematical approach to exotic option pricing (Q2910830): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1002/mma.2519 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2010275083 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hyperbolic distributions in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility for Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fourier inversion formulas in option pricing and insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Fourier Transform Valuation Formulas and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the duality principle in option pricing: semimartingale setting / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance-optimal hedging for processes with stationary independent increments / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fourier Transform Method for Spread Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The quintessential option pricing formula under Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The minimal entropy martingale measures for geometric Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4224351 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equivalence of floating and fixed strike Asian and lookback options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Connecting discrete and continuous lookback or hindsight options in exponential Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Connecting discrete and continuous path-dependent options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A comprehensive structural model for defaultable fixed-income bonds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Options to expand and to contract in combination / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: An improved convolution algorithm for discretely sampled Asian options / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 15:52, 5 July 2024

scientific article
Language Label Description Also known as
English
A comprehensive mathematical approach to exotic option pricing
scientific article

    Statements

    A comprehensive mathematical approach to exotic option pricing (English)
    0 references
    0 references
    11 September 2012
    0 references
    Lévy processes
    0 references
    pseudodifferential equations
    0 references
    option pricing
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references