Pages that link to "Item:Q5940352"
From MaRDI portal
The following pages link to On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (Q5940352):
Displaying 42 items.
- The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
- Poisson kernels on nilpotent, 3-meta-abelian groups (Q268184) (← links)
- Another look at the integral of exponential Brownian motion and the pricing of Asian options (Q331365) (← links)
- Multiresolution Hilbert approach to multidimensional Gauss-Markov processes (Q413918) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- A note on switching property for squared Bessel process (Q831325) (← links)
- Asian options with jumps (Q866600) (← links)
- Law of the exponential functional of one-sided Lévy processes and Asian options (Q1012394) (← links)
- Tail estimates for exponential functionals and applications to SDEs (Q1630664) (← links)
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits (Q1735033) (← links)
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval (Q1757249) (← links)
- Another look at the Hartman-Watson distributions (Q2006374) (← links)
- Whittaker-Stockwell transform and Tikhonov regularization problem (Q2160284) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- On hyperbolic Bessel processes and beyond (Q2435249) (← links)
- Fourier transformation and the pricing of average-rate derivatives (Q2466427) (← links)
- Bounds for in-progress floating-strike Asian options using symmetry (Q2480218) (← links)
- Discrete sums of geometric Brownian motions, annuities and Asian options (Q2520429) (← links)
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (Q2568302) (← links)
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- Long-run growth rate in a random multiplicative model (Q3189951) (← links)
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values (Q3417914) (← links)
- A General Framework for Pricing Asian Options Under Markov Processes (Q3450459) (← links)
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (Q4372019) (← links)
- Pricing Asian options in a semimartingale model (Q4610222) (← links)
- A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line (Q4618067) (← links)
- On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales (Q4642731) (← links)
- Invariance formulas for stopping times of squared Bessel process (Q4685698) (← links)
- Moments of integrated exponential Lévy processes and applications to Asian options pricing (Q5039631) (← links)
- Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (Q5082731) (← links)
- SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) (← links)
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
- Asian option pricing with orthogonal polynomials (Q5234316) (← links)
- Asian Options Under One-Sided Lévy Models (Q5299562) (← links)
- Lévy processes with respect to the Whittaker convolution (Q5853477) (← links)
- Generalization of Titchmarsh's theorem for the modified Whittaker transform (Q5886906) (← links)
- An affine property of the reciprocal Asian option process (Q5939263) (← links)
- Total positivity and relative convexity of option prices (Q6105375) (← links)
