Pages that link to "Item:Q3635184"
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The following pages link to Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (Q3635184):
Displayed 26 items.
- High-order approximation of Pearson diffusion processes (Q413731) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
- Local time and the pricing of path-dependent options (Q2430252) (← links)
- Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
- Spectral binomial tree: new algorithms for pricing barrier options (Q2448315) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704) (← links)
- A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
- New analytical option pricing models with Weyl–Titchmarsh theory (Q2873531) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- Statistical Inference for Student Diffusion Process (Q3068099) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- Double knock-out Asian barrier options which widen or contract as they approach maturity (Q3395741) (← links)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
- The square-root process and Asian options (Q3437388) (← links)
- INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL (Q3502165) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
- The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
- The exact smile of certain local volatility models (Q5397427) (← links)
- Spectral representation of transition density of Fisher–Snedecor diffusion (Q5411909) (← links)
- Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries (Q5415099) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- On the transition densities for reflected diffusions (Q5694152) (← links)