Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129): Difference between revisions

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+Some formulae for a new type of path-dependent option
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+On a generalization of the arc-sine law
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+Occupation times of spectrally negative Lévy processes with applications
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+Occupation times of intervals until first passage times for spectrally negative Lévy processes
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+Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
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+Step Options
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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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+Corridor options and arc-sine law.
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+PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+On first passage times of a hyper-exponential jump diffusion process
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+Exit problems for jump processes with applications to dividend problems
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+Q4888858
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+Valuing equity-linked death benefits in jump diffusion models
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+Classes of probability density functions having Laplace transforms with negative zeros and poles
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+Russian and American put options under exponential phase-type Lévy models.
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+Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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+The Fourier-series method for inverting transforms of probability distributions
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