Pages that link to "Item:Q4339345"
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The following pages link to Brownian Excursions and Parisian Barrier Options (Q4339345):
Displaying 50 items.
- A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes (Q274168) (← links)
- Parisian ruin over a finite-time horizon (Q295101) (← links)
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175) (← links)
- A new firing paradigm for integrate and fire stochastic neuronal models (Q335094) (← links)
- The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model (Q344313) (← links)
- An insurance risk model with Parisian implementation delays (Q479172) (← links)
- Perturbed Brownian motion and its application to Parisian option pricing (Q650763) (← links)
- On barrier strategy dividends with Parisian implementation delay for classical surplus processes (Q659119) (← links)
- Occupation times of spectrally negative Lévy processes with applications (Q719777) (← links)
- Liquidation risk in insurance under contemporary regulatory frameworks (Q784414) (← links)
- On the pricing of defaultable bonds using the framework of barrier options (Q816769) (← links)
- Brownian penalisations related to excursion lengths. VII (Q838322) (← links)
- Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
- American Parisian options (Q881414) (← links)
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps (Q896775) (← links)
- Closed-form solutions to stochastic process switching problems (Q952681) (← links)
- Double-sided Parisian option pricing (Q964673) (← links)
- An improved combinatorial approach for pricing Parisian options (Q965783) (← links)
- Default risk, bankruptcy procedures and the market value of life insurance liabilities (Q995500) (← links)
- On information costs, short sales and the pricing of extendible options, steps and Parisian options (Q1615798) (← links)
- Parisian ruin for the dual risk process in discrete-time (Q1616054) (← links)
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121) (← links)
- Discounted penalty function at Parisian ruin for Lévy insurance risk process (Q1622529) (← links)
- Dividend barrier strategy: proceed with caution (Q1640946) (← links)
- Mitigating global warming: a real options approach (Q1699103) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- A threshold-based risk process with a waiting period to pay dividends (Q1717028) (← links)
- Pricing American-style Parisian down-and-out call options (Q1735448) (← links)
- On the dual risk model with Parisian implementation delays in dividend payments (Q1752782) (← links)
- Path integral pricing of wasabi option in the Black-Scholes model (Q1783050) (← links)
- Modeling credit risk with partial information. (Q1879905) (← links)
- Structural model of credit migration (Q1927128) (← links)
- Performance regularity: a new class of executive compensation packages (Q1934586) (← links)
- Parisian ruin probability for spectrally negative Lévy processes (Q1952435) (← links)
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process (Q2001232) (← links)
- On Parisian option pricing for uncertain currency model (Q2129431) (← links)
- Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing (Q2143475) (← links)
- Optimal dividend strategy under Parisian ruin with affine penalty (Q2157383) (← links)
- Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process (Q2169287) (← links)
- Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs (Q2188956) (← links)
- The Leland-Toft optimal capital structure model under Poisson observations (Q2211349) (← links)
- Flexibility premium of emissions permits (Q2246672) (← links)
- American step options (Q2282524) (← links)
- Minimizing the probability of lifetime exponential Parisian ruin (Q2302841) (← links)
- On the first positive and negative excursion exceeding a given length (Q2322614) (← links)
- The time of ultimate recovery in Gaussian risk model (Q2322841) (← links)
- A new type of barrier options: lizard option (Q2398587) (← links)
- Parisian quasi-stationary distributions for asymmetric Lévy processes (Q2406780) (← links)
- The Parisian and ultimate drawdowns of Lévy insurance models (Q2682983) (← links)
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes (Q2700076) (← links)
