Pages that link to "Item:Q1901079"
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The following pages link to Some formulae for a new type of path-dependent option (Q1901079):
Displaying 29 items.
- A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991) (← links)
- Perturbed Brownian motion and its application to Parisian option pricing (Q650763) (← links)
- On occupation times in the red of Lévy risk models (Q784389) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- Optimal investment strategy to minimize occupation time (Q993736) (← links)
- A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing (Q1000526) (← links)
- Some applications of occupation times of Brownian motion with drift in mathematical finance (Q1302366) (← links)
- On the distribution of cumulative Parisian ruin (Q1681195) (← links)
- A threshold-based risk process with a waiting period to pay dividends (Q1717028) (← links)
- On the quantiles of Brownian motion and their hitting times (Q1767480) (← links)
- Corridor options and arc-sine law. (Q1884834) (← links)
- Occupation time of Lévy processes with jumps rational Laplace transforms (Q1990036) (← links)
- Optimal dividend strategy under Parisian ruin with affine penalty (Q2157383) (← links)
- Sojourn times of Gaussian processes with trend (Q2209315) (← links)
- On generalized Berman constants (Q2218838) (← links)
- Valuation of a repriceable executive stock option (Q2268392) (← links)
- Subordinated Brownian motion: last time the process reaches its supremum (Q2352336) (← links)
- On a generalization of the arc-sine law (Q2564702) (← links)
- Sample quantiles of stochastic processes with stationary and independent ents (Q2564703) (← links)
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357) (← links)
- The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise (Q2930243) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521) (← links)
- A note on the α-quantile option (Q4551190) (← links)
- Arcsine laws for random walks generated from random permutations with applications to genomics (Q5014297) (← links)
- Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
- Expected median of a shifted Brownian motion: Theory and calculations (Q6054402) (← links)
- Pro‐cyclicality beyond business cycle (Q6054455) (← links)
- Note on the weak convergence of hyperplane \(\alpha\)-quantile functionals and their continuity in the Skorokhod J1 topology (Q6652484) (← links)
