Pages that link to "Item:Q1901080"
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The following pages link to The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options (Q1901080):
Displayed 26 items.
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- Volatility occupation times (Q385768) (← links)
- Perturbed Brownian motion and its application to Parisian option pricing (Q650763) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- Flexible supply contracts under price uncertainty (Q930966) (← links)
- A threshold-based risk process with a waiting period to pay dividends (Q1717028) (← links)
- On the quantiles of Brownian motion and their hitting times (Q1767480) (← links)
- Distribution tails of sample quantiles and subexponentiality (Q1805774) (← links)
- Corridor options and arc-sine law. (Q1884834) (← links)
- Purchasing decisions under stochastic prices: approximate solutions for order time, order quantity and supplier selection (Q1945085) (← links)
- Universal order statistics for random walks \& Lévy flights (Q2107263) (← links)
- Optimal dividend strategy under Parisian ruin with affine penalty (Q2157383) (← links)
- American step options (Q2282524) (← links)
- Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications (Q2407767) (← links)
- On a generalization of the arc-sine law (Q2564702) (← links)
- Sample quantiles of stochastic processes with stationary and independent ents (Q2564703) (← links)
- Extreme order statistics of random walks (Q2686605) (← links)
- PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- Distribution of occupation times for constant elasticity of variance diffusion and the pricing of<b>α</b>-quantile options (Q3439870) (← links)
- THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521) (← links)
- A note on the α-quantile option (Q4551190) (← links)
- Occupation times of alternating renewal processes with Lévy applications (Q4611287) (← links)
- Gap statistics close to the quantile of a random walk (Q5055662) (← links)
- Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
- Expected median of a shifted Brownian motion: Theory and calculations (Q6054402) (← links)