Expected median of a shifted Brownian motion : Theory and calculations
Year of publication: |
2021
|
---|---|
Authors: | Piterbarg, Vladimir V. |
Published in: |
Mathematical Finance. - Wiley, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2021, 1 (29.12.), p. 3-45
|
Publisher: |
Wiley |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Risk sensitivities of Bermuda swaptions
Piterbarg, Vladimir V., (2004)
-
Moment explosions in stochastic volatility models
Andersen, Leif B. G., (2007)
-
Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V., (2005)
- More ...