Pages that link to "Item:Q2707196"
From MaRDI portal
The following pages link to Applications of eigenfunction expansions in continuous-time finance (Q2707196):
Displaying 26 items.
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (Q253095) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Spectral decomposition of optimal asset-liability management (Q2271663) (← links)
- Geometric Brownian motion with affine drift and its time-integral (Q2663830) (← links)
- Estimating the price of pure discount bond: eigenfunction expansion approach (Q2796472) (← links)
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
- Variance swaps on defaultable assets and market implied time-changes (Q2813077) (← links)
- New analytical option pricing models with Weyl–Titchmarsh theory (Q2873531) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- A Series Solution for Bermudan Options (Q3375370) (← links)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
- PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS (Q3523603) (← links)
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (Q3635184) (← links)
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
- A structural framework for modelling contingent capital (Q4555125) (← links)
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
- The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
- The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion (Q4918578) (← links)
- Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound (Q5106727) (← links)
- SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975) (← links)
- On the transition densities for reflected diffusions (Q5694152) (← links)
- Noncausal affine processes with applications to derivative pricing (Q6146675) (← links)
