SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation
8 references·0 citing·32 second hop
On the Fundamental Solution of the Kolmogorov–Shiryaev Equation (2006)On the Fundamental Solution of the Kolmog…The Wiener disorder problem with finite horizon (2006)The Wiener disorder problem w…Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (2004)Bessel Processes, the Integra…A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (2004)A study of the Hartman–Watson…Quickest Detection Problems in the Technical Analysis of the Financial Data (2002)Quickest Detection Problems i…The integral of geometric Brownian motion (2001)The integral of geometric Bro…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…The value of an Asian option (1995)The value of an Asian optionOn some exponential functionals of Brownian motion (1992)On some exponential functiona…CONTINUOUS INSPECTION SCHEMES (1954)Procedures for Reacting to a Change in Distribution (1971)Continuous Martingales and Brownian Motion (1999)Thou shalt buy and hold (2008)Optimal Sequential Surveillance for Finance, Public Health, and Other Areas (2009)Selling a stock at the ultimate maximum (2009)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The α -hypergeometric stochastic volatility model (2015)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Laguerre Series for Asian and Other Options (2000)The log-normal approximation in financial and other computations (2004)Prices and sensitivities of Asian options: A survey (2007)Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model (2012)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Dynamic Asset Pricing Theory. (1993)Stochastic Differential Equations (2003)On the qualitative effect of volatility and duration on prices of Asian options (2008)Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009)Analytical calculation of risk measures for variable annuity guaranteed benefits (2012)Theory of Financial Decision Making. (1988)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Economic Control of Quality of Manufactured Product. (1932)Bayesian Disorder Problems on Filtered Probability Spaces (2013)Bayesian Quickest Detection Problems for Some Diffusion Processes (2013)When to Sell Apple and the Nasdaq? Trading Bubbles with a Stochastic Disorder Model (2014)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)
this work references cited by second hop

References

  • 1995The value of an Asian option532 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 2001The integral of geometric Brownian motion132 cited
  • 2002Quickest Detection Problems in the Technical Analysis of the Financial Data106 cited
  • 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options70 cited
  • 2006The Wiener disorder problem with finite horizon63 cited
  • 2004A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options43 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work