Double lookbacks
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- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- A note on the distribution of multivariate Brownian extrema
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
- Proactive hedging European option pricing with a general logarithmic position strategy
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- Outside barrier lookback options with floating strike
- On capital allocation for a risk measure derived from ruin theory
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
- Closed form valuation of barrier options with stochastic barriers
- A dynamic programming approach to path-dependent constrained portfolios
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
- Valuation of a repriceable executive stock option
- Pricing of proactive hedging European option with dynamic discrete position strategy
- A reflection principle for correlated defaults
- Pricing credit default swaps with bilateral value adjustments
- Inference in a synchronization game with social interactions
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
- Joint law of an Ornstein-Uhlenbeck process and its supremum
- PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
- Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
- Modelling bonds and credit default swaps using a structural model with contagion
- Effective Incorporation of Double Look-Ahead Procedures
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- Closed-form pricing of two-asset barrier options with stochastic covariance
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- QUANTO LOOKBACK OPTIONS
- Efficiently pricing double barrier derivatives in stochastic volatility models
- Computation of multivariate barrier crossing probability and its applications in credit risk models
- Extrema of multi-dimensional Gaussian processes over random intervals
- On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Pricing two-asset barrier options under stochastic correlation via perturbation
- Two asset-barrier option under stochastic volatility
- Three dimensional distribution of Brownian motion extrema
- Transition probability of Brownian motion in the octant and its application to default modelling
- Finite-time ruin probability for correlated Brownian motions
- A general approach for lookback option pricing under Markov models
- Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
- PDE for the joint law of the pair of a continuous diffusion and its running maximum
- Pricing vulnerable lookback options using Laplace transforms
- On the range of a Lévy risk process with fair valuation of insurance contracts
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- A fast algorithm for numerical solutions to Fortet's equation
- Matching asymptotics in path-dependent option pricing
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