Lookback options and diffusion hitting times : a spectral expansion approach
Year of publication: |
2004
|
---|---|
Authors: | Linetsky, Vadim |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 8.2004, 3, p. 373-398
|
Subject: | Optionspreistheorie | Option pricing theory | Theorie | Theory |
-
Jumps and stochastic volatility : exchange rate processes implicit in PHLX Deutschemark options
Bates, David S., (1993)
-
Put-call-futures parity pricing in Australia
English, John W., (1993)
-
Some questions on the pricing of SPI futures contracts
Heaney, Richard A., (1993)
- More ...
-
The Path Integral Approach to Financial Modeling and Options Pricing
Linetsky, Vadim, (1997)
-
The spectral decomposition of the option value
Linetsky, Vadim, (2004)
-
Pricing equity derivates subject to bankruptcy
Linetsky, Vadim, (2006)
- More ...