Tristan Guillaume

Available identifiers

Publication	Date of Publication	Type
Closed form valuation of barrier options with stochastic barriers	2022-07-05	Paper
Computation of the quadrivariate and pentavariate normal cumulative distribution functions	2022-06-28	Paper
On the multidimensional Black-Scholes partial differential equation	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	2019-03-18	Paper
On the first exit time of geometric Brownian motion from stochastic exponential boundaries	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	2018-08-14	Paper
Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering	2012-05-21	Paper
Making the best of best-of	2009-06-19	Paper
Window double barrier options	2004-01-14	Paper
valuation of options on joint minima and maxima	2002-09-05	Paper

This page was built for person: Tristan Guillaume