The pricing of vulnerable options with double Mellin transforms (Q465177): Difference between revisions

@@ Property / DOI @@
-.1016/j.jmaa.2014.09.015
@@ Property / DOI: 10.1016/j.jmaa.2014.09.015 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+A15
@@ Property / Mathematics Subject Classification ID: 44A15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
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@@ Property / zbMATH DE Number @@
+6362850
@@ Property / zbMATH DE Number: 6362850 / rank @@
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@@ Property / zbMATH Keywords @@
+vulnerable option
@@ Property / zbMATH Keywords: vulnerable option / rank @@
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@@ Property / zbMATH Keywords @@
+double Mellin transform
@@ Property / zbMATH Keywords: double Mellin transform / rank @@
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@@ Property / zbMATH Keywords @@
+Mellin convolution
@@ Property / zbMATH Keywords: Mellin convolution / rank @@
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@@ Property / zbMATH Keywords @@
+Hull-White interest rates
@@ Property / zbMATH Keywords: Hull-White interest rates / 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.jmaa.2014.09.015
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@@ Property / OpenAlex ID @@
+W2044550654
@@ Property / OpenAlex ID: W2044550654 / rank @@
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@@ Property / cites work @@
+Q4000492
@@ Property / cites work: Q4000492 / rank @@
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@@ Property / cites work @@
+Q2906109
@@ Property / cites work: Q2906109 / rank @@
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@@ Property / cites work @@
+Q5437427
@@ Property / cites work: Q5437427 / rank @@
+Normal rank
@@ Property / cites work @@
+On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
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@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing perpetual options using Mellin transforms
@@ Property / cites work: Pricing perpetual options using Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options under a stochastic volatility model
+Normal rank
@@ Property / DOI @@
+.1016/J.JMAA.2014.09.015
@@ Property / DOI: 10.1016/J.JMAA.2014.09.015 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:465177