Pages that link to "Item:Q1776008"

The following pages link to Lookback options and diffusion hitting times: a spectral expansion approach (Q1776008):

Displaying 38 items.

• On the distribution of first exit time for Brownian motion with double linear time-dependent barriers (Q469885) (← links)
• Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
• The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
• A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
• On pricing lookback options under the CEV process (Q882493) (← links)
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes (Q898953) (← links)
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
• The hitting time density for a reflected Brownian motion (Q1930395) (← links)
• Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← links)
• An efficient numerical method for pricing American put options under the CEV model (Q2226255) (← links)
• On the transition density and first hitting time distributions of the doubly skewed CIR process (Q2241619) (← links)
• Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
• Spectral decomposition of optimal asset-liability management (Q2271663) (← links)
• Uniform ergodicity for Brownian motion in a bounded convex set (Q2297314) (← links)
• Classes of elementary function solutions to the CEV model I (Q2315817) (← links)
• Exact simulation of the first-passage time of diffusions (Q2316185) (← links)
• A stochastic model for cell adhesion to the vascular wall (Q2330629) (← links)
• Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020) (← links)
• One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem (Q2937462) (← links)
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
• DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT (Q3100995) (← links)
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL (Q3502165) (← links)
• Real-World Pricing for a Modified Constant Elasticity of Variance Model (Q3565103) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
• ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS (Q4906524) (← links)
• Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound (Q5106727) (← links)
• Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods (Q5155315) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
• Option pricing under hybrid stochastic and local volatility (Q5397448) (← links)
• THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS (Q5411743) (← links)
• PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975) (← links)
• On the transition densities for reflected diffusions (Q5694152) (← links)