THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Brownian Excursions and Parisian Barrier Options
@@ Property / cites work: Brownian Excursions and Parisian Barrier Options / rank @@
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+Martingales and arbitrage in multiperiod securities markets
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+Mark Kac 1914--1984
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
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+Some formulae for a new type of path-dependent option
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+The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
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+The distribution of Brownian quantiles
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+Normal rank
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+A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
+Normal rank