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Chapter 6 Spectral Methods in Derivatives Pricing · Study

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ChapterChapter 6 Spectral Methods in Derivatives Pricing

Vadim Linetsky2007

Chapter2007

Chapter 6 Spectral Methods in Derivatives Pricing

46 citations·0/0 files stored·Handbooks in operations research and management science

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 1999Continuous Martingales and Brownian Motion 1977An equilibrium characterization of the term structure 2003Monte Carlo Methods in Financial Engineering 1976The valuation of options for alternative stochastic processes

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2015A family of density expansions for Levy-type processes with default 2016Additive subordination and its applications in finance

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2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELINGarticle · 18 shared references 2004THE SPECTRAL DECOMPOSITION OF THE OPTION VALUEarticle · 16 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 15 shared references 2004The spectral representation of Bessel processes with constant drift: applications in queueing and financearticle · 14 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 13 shared references 2014Time-changed CIR default intensities with two-sided mean-reverting jumpsarticle · 13 shared references

Details

Year2007

Typechapter

Published2007-01-01

VenueHandbooks in operations research and management science

ISSN-L0927-0507

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0927-0507(07)15006-4

openalex_workW1577831816

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