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~isPartOf:"Finance and stochastics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~person:"Linetsky, Vadim"
~type_genre:"Aufsatz in Zeitschrift"
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Option pricing theory
4
Optionspreistheorie
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Stochastischer Prozess
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Theorie
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Theory
2
Barrier options
1
Credit risk
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Derivat
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Derivative
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First passage times
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Linetsky, Vadim
Carr, Peter
8
Chen, Son-nan
7
Hobson, David G.
7
Wu, Ting-pin
7
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6
Kabanov, Jurij M.
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Tian, Yisong Sam
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Finance and stochastics
The journal of derivatives : the official publication of the International Association of Financial Engineers
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
European finance review : the official journal of the European Finance Association
1
International journal of theoretical and applied finance
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Journal of economic dynamics & control
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ECONIS (ZBW)
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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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2
Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 513-540
Persistent link: https://www.econbiz.de/10009303137
Saved in:
3
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming
;
Linetsky, Vadim
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
Saved in:
4
Lookback options and diffusion hitting times : a spectral expansion approach
Linetsky, Vadim
- In:
Finance and stochastics
8
(
2004
)
3
,
pp. 373-398
Persistent link: https://www.econbiz.de/10002130320
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