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Pricing equity derivates subje...
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Linetsky, Vadim
87
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13
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12
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12
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12
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7
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5
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4
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3
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3
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3
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2
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2
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2
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ECONIS (ZBW)
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The spectral decomposition of the option value
Linetsky, Vadim
- In:
International journal of theoretical and applied finance
7
(
2004
)
3
,
pp. 337-384
Persistent link: https://www.econbiz.de/10002111464
Saved in:
2
Spectral methods in derivatives pricing
Linetsky, Vadim
- In:
Financial engineering
,
(pp. 223-299)
.
2008
Persistent link: https://www.econbiz.de/10003567126
Saved in:
3
Computing hitting time densities for CIR and OU diffusions : applications to mean-reverting models
Linetsky, Vadim
- In:
The journal of computational finance
7
(
2004
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10002126756
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
Saved in:
5
Step options
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 55-96
Persistent link: https://www.econbiz.de/10001363486
Saved in:
6
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:
7
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. 527-569
Persistent link: https://www.econbiz.de/10008666998
Saved in:
8
A jump to default extended CEV model : an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
Saved in:
9
Variational methods in derivatives pricing
Feng, Liming
;
Kovalov, Pavlo
;
Linetsky, Vadim
; …
- In:
Financial engineering
,
(pp. 301-342)
.
2008
Persistent link: https://www.econbiz.de/10003567137
Saved in:
10
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
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