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Evaluating callable and putable bonds: An eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1909
Persistent link: https://www.econbiz.de/10010021635
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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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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010175170
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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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Introduction to the special issue on applications of financial engineering in operations, production, services, logistics, and management
Birge, John; Linetsky, Vadim - In: Naval research logistics : an international journal 53 (2006) 7, pp. 601-602
Persistent link: https://www.econbiz.de/10007278220
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Pricinq and Hedging Path-Dependent Options Under the CEV Process
Davydov, Dmitry; Linetsky, Vadim - In: Management science : journal of the Institute for … 47 (2001) 7, pp. 949-965
Persistent link: https://www.econbiz.de/10006089972
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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. 501-530
Persistent link: https://www.econbiz.de/10008274832
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TIME‐CHANGED MARKOV PROCESSES IN UNIFIED CREDIT‐EQUITY MODELING
Mendoza‐Arriaga, Rafael; Carr, Peter; Linetsky, Vadim - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 527-570
Persistent link: https://www.econbiz.de/10008641330
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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/10008214761
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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Gorovoi, Viatcheslav; Linetsky, Vadim - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10008215000