Pages that link to "Item:Q4653015"
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The following pages link to THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015):
Displaying 50 items.
- European and Asian Greeks for exponential Lévy processes (Q64644) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- High-order approximation of Pearson diffusion processes (Q413731) (← links)
- Hypothesis testing for Fisher-Snedecor diffusion (Q433748) (← links)
- Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
- Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Statistical inference for reciprocal gamma diffusion process (Q1036702) (← links)
- Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
- Leveraged investments and agency conflicts when cash flows are mean reverting (Q1656786) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits (Q1735033) (← links)
- A unified construction of product formulas and convolutions for Sturm-Liouville operators (Q2030279) (← links)
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (Q2074883) (← links)
- Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation (Q2207420) (← links)
- On the transition density and first hitting time distributions of the doubly skewed CIR process (Q2241619) (← links)
- Spectral decomposition of optimal asset-liability management (Q2271663) (← links)
- A stochastic model for cell adhesion to the vascular wall (Q2330629) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- Stochastic (in)stability of synchronisation of oscillators on networks (Q2442486) (← links)
- Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients (Q2510016) (← links)
- Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020) (← links)
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
- Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup (Q2805608) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376) (← links)
- New analytical option pricing models with Weyl–Titchmarsh theory (Q2873531) (← links)
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (Q2962134) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- Statistical Inference for Student Diffusion Process (Q3068099) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- Pseudospectral methods for pricing options (Q3182746) (← links)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
- A note on some new perpetuities (Q3440862) (← links)
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE (Q3444863) (← 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)
- Generalized uncorrelated SABR models with a high degree of symmetry (Q3577153) (← links)
- Moments of renewal shot-noise processes and their applications (Q4562034) (← links)
- On two diffusion neuronal models with multiplicative noise: The mean first-passage time properties (Q4565969) (← links)
- Analytic solution to space-fractional Fokker–Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift (Q4603655) (← links)
- APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION (Q4631690) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
