Pages that link to "Item:Q4014074"

The following pages link to On some exponential functionals of Brownian motion (Q4014074):

Displaying 35 items.

• Stochastic Life Annuities (Q5019716) (← links)
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
• PRICING ASIAN OPTIONS WITH CORRELATORS (Q5061498) (← links)
• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (Q5082731) (← links)
• Stochastic calculus in a risk model with stochastic return on investments (Q5086621) (← links)
• Explicit Expressions of the Hua--Pickrell Semigroup (Q5097172) (← links)
• CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (Q5114679) (← links)
• On potential theory of hyperbolic Brownian motion with drift (Q5122734) (← links)
• Feynman--Kac Transform for Anomalous Processes (Q5158397) (← links)
• Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields (Q5176919) (← links)
• SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) (← links)
• Asian option pricing with orthogonal polynomials (Q5234316) (← links)
• A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor (Q5270098) (← links)
• DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION (Q5384676) (← links)
• EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION (Q5422631) (← links)
• Hyperbolic and fractional hyperbolic Brownian motion (Q5433509) (← links)
• (Q5498830) (← links)
• FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING (Q5745192) (← links)
• Exponential Functionals of Brownian Motion and Explosion Times of a System of Semilinear SPDEs (Q5746989) (← links)
• An application of risk theory to mortgage lending (Q5865323) (← links)
• Markov limits of steady states of the KPZ equation on an interval (Q5870400) (← links)
• The probability of events for stochastic parabolic equations (Q5885223) (← links)
• Closed form formulae for the heat kernels and the Green functions for the Laplacians on the symmetric spaces of rank one (Q5956292) (← links)
• A note on the distribution of integrals of geometric Brownian motion (Q5956488) (← links)
• Fluctuation exponents of the KPZ equation on a large torus (Q6074566) (← links)
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL (Q6095474) (← links)
• Localization length of the \(1+1\) continuum directed random polymer (Q6101132) (← links)
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550) (← links)
• The Markov property of local times of Brownian motion indexed by the Brownian tree (Q6118757) (← links)
• Lower and upper bounds for the explosion times of a system of semilinear SPDEs (Q6550290) (← links)
• Derivatives on nonstorable renewable resources: fish futures and options, not so fishy after all (Q6551688) (← links)
• BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options (Q6553601) (← links)
• Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
• Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions (Q6589562) (← links)
• Impacts of noise on quenching of some models arising in MEMS technology (Q6622971) (← links)