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Asymmetric skew Bessel processes and their applications to finance
8 references·1 citing·28 second hop
Asymmetric skew Bessel processes and their applications to finance (2005)Asymmetric skew Bessel processes and thei…A survey and some generalizations of Bessel processes (2003)A survey and some generalizat…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Laplace transform of annuities certain with exponential time distribution (1992)The Laplace transform of annu…Sur certaines fonctionnelles exponentielles du mouvement brownien réel (1992)Sur certaines fonctionnelles …“Skew-Brownian Motion” and Derived Processes (1991)“Skew-Brownian Motion” and De…Diffusion Processes with Generalized Drift Coefficients (1979)Diffusion Processes with Gene…On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations (1972)On the pathwise uniqueness of…First Passage Time of Skew Brownian Motion (2012)First Passage Time of Skew Br…On Distributions of Certain Wiener Functionals (1949)An analytical inversion of a Laplace transform related to annuities certain (1994)Two Stochastic Approaches for Discounting Actuarial Functions (1994)Analytical calculation of risk measures for variable annuity guaranteed benefits (2012)One — dimensional stochastic differential equations involving the local times of the unknown process (1984)A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (2006)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Skorokhod embedding problem and its offspring (2004)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)A jump to default extended CEV model: an application of Bessel processes (2006)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Continuous Martingales and Brownian Motion (1991)An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws (2001)On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (2001)Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes (2005)On a stochastic integral equation (1946)On the uniqueness of solutions of stochastic differential equations (1971)Stochastic differential equations with jumps (2004)Stochastic differential equations for sticky Brownian motion (2014)On the smoothness of value functions and the existence of optimal strategies in diffusion models (2015)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Lévy processes (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Arbitrage in skew Brownian motion models (2011)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003A survey and some generalizations of Bessel processes305 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 1972On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations124 cited
  • 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel87 cited
  • 1992The Laplace transform of annuities certain with exponential time distribution50 cited
  • 1991“Skew-Brownian Motion” and Derived Processes35 cited
  • 1979Diffusion Processes with Generalized Drift Coefficients28 cited

Cited by

  • 2012First Passage Time of Skew Brownian Motion24 cited

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