SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Corridor options and arc-sine law
9 references·0 citing·30 second hop
Corridor options and arc-sine law (2000)Corridor options and arc-sine law“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options (1995)The Distribution of the Quant…Some Formulae for a New Type of Path-Dependent Option (1995)Some Formulae for a New Type …Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue (1994)Multidimensional Transform In…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (1999)The Valuation of Executive Stock Options in an Intensity-Based Framework (2000)Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (2010)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Introduction to the Theory of Queues. (1963)Stochastic analysis of a single server retrial queue with general retrial times (1999)Optimal capital structure and endogenous default (2002)A General Framework for Pricing Asian Options Under Markov Processes (2015)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1994Multidimensional Transform Inversion with Applications to the Transient M/G/1 Queue138 cited
  • 1995The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options100 cited
  • 1995Some Formulae for a New Type of Path-Dependent Option96 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