Tristan Guillaume

MaRDI QIDQ420139zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Analytical valuation of a general form of barrier option with stochastic interest rate and jumps Review of Derivatives Research	2026-01-14	Paper
Closed form valuation of barrier options with stochastic barriers Annals of Operations Research	2022-07-05	Paper
Computation of the quadrivariate and pentavariate normal cumulative distribution functions Communications in Statistics. Simulation and Computation	2022-06-28	Paper
On the multidimensional Black-Scholes partial differential equation Annals of Operations Research	2020-01-20	Paper
An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve Journal of Applied Mathematics	2019-03-18	Paper
On the first exit time of geometric Brownian motion from stochastic exponential boundaries International Journal of Applied and Computational Mathematics	2018-10-15	Paper
On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function Journal of Probability and Statistics	2018-08-14	Paper
Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering ISRN Applied Mathematics	2012-05-21	Paper
Making the best of best-of Review of Derivatives Research	2009-06-19	Paper
Window double barrier options Review of Derivatives Research	2004-01-14	Paper
valuation of options on joint minima and maxima Applied Mathematical Finance	2002-09-05	Paper

Research outcomes over time

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