Step options.
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- Proactive hedging European option pricing with a general logarithmic position strategy
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Occupation times in the MAP risk model
- On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
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- A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
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- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Pricing step options under the CEV and other solvable diffusion models
- Pricing exotic derivatives exploiting structure
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Weak approximation rates for integral functionals of Markov processes
- Accuracy of discrete approximation for integral functionals of Markov processes
- Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Valuing qualitative options with stochastic volatility
- American type geometric step options
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- valuation of options on joint minima and maxima
- A general valuation framework for SABR and stochastic local volatility models
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Pricing occupation-time options in a mixed-exponential jump-diffusion model
- Pricing step-up options using Laplace transform
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- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
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- A Hamiltonian approach to floating barrier option pricing
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
- Characteristic functions and option valuation in a Markov chain market
- BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options
- On extension of the Markov chain approximation method for computing Feynman-Kac type expectations
- The bilateral Gamma motion: calibration and option pricing
- Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications
- Short communication: amortizing perpetual options
- On occupation times in the red of Lévy risk models
- Pricing derivatives with barriers in a stochastic interest rate environment
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- An object-oriented framework for valuing shout options on high-performance computer architectures
- Optimal investment strategy to minimize occupation time
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