A note on some new perpetuities
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Publication:3440862
DOI10.1080/03461230510009772zbMATH Open1142.91038OpenAlexW2075268383MaRDI QIDQ3440862FDOQ3440862
Wim Schoutens, Marc Decamps, Ann De Schepper, Marc J. Goovaerts
Publication date: 29 May 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230510009772
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Cites Work
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- On skew Brownian motion
- Exponential functionals of Brownian motion and related processes
- Title not available (Why is that?)
- “Skew-Brownian Motion” and Derived Processes
- Perpetual integral functionals as hitting and occupation times
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- The Laplace transform of annuities certain with exponential time distribution
- The present value of a stochastic perpetuity and the gamma distribution
- Martingales, scale functions and stochastic life annuities: A note
Cited In (7)
- Arbitrage in skew Brownian motion models
- Title not available (Why is that?)
- Perpetual integral functionals as hitting and occupation times
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- A simple trinomial lattice approach for the skew-extended CIR models
- Simulating diffusions with piecewise constant coefficients using a kinetic approximation
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT
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