Lookback options and diffusion hitting times: a spectral expansion approach
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Publication:1776008
DOI10.1007/s00780-003-0120-5zbMath1065.60105OpenAlexW2142368463MaRDI QIDQ1776008
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-003-0120-5
Bessel processhitting timesconstant elasticity of variancespectral expansionslookback optionsdiffusion maximum and minimum
Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)
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