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Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
Li, Lingfei; Linetsky, Vadim - In: Operations research : the journal of the Operations … 61 (2013) 3, pp. 625-643
Persistent link: https://www.econbiz.de/10010139056
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Spectral Expansions for Asian (Average Price) Options
Linetsky, Vadim - In: Operations research : the journal of the Operations … 52 (2004) 6, pp. 856-867
Persistent link: https://www.econbiz.de/10006417490
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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Feng, Liming; Linetsky, Vadim - In: Operations research : the journal of the Operations … 56 (2008) 2, pp. 304-325
Persistent link: https://www.econbiz.de/10007997074
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Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
Davydov, Dmitry; Linetsky, Vadim - In: Operations research : the journal of the Operations … 51 (2003) 2, pp. 185-209
Persistent link: https://www.econbiz.de/10006418148