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Discrete extrema of Brownian motion and pricing of exotic options
16 references·0 citing·33 second hop
Discrete extrema of Brownian motion and pricing of exotic options (2007)Discrete extrema of Brownian motion and p…Theory of rational option pricing (2005)Theory of rational option pri…An exact analytical solution for discrete barrier options (2005)An exact analytical solution …A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)A Double-Exponential Fast Gau…Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Numerical pricing of discrete…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…Evaluating first-passage probabilities for spectrally one-sided Lévy processes (2000)Evaluating first-passage prob…Connecting discrete and continuous path-dependent options (1999)Connecting discrete and conti…An explicit finite difference approach to the pricing of barrier options (1998)An explicit finite difference…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…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 …Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Path Dependent Options: The Case of Lookback Options (1991)Path Dependent Options: The C…Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingales and stochastic integrals in the theory of continuous trading (1981)The Valuation of Executive Stock Options in an Intensity-Based Framework (2000)Brownian Motion and Stochastic Calculus (2007)Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (2010)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)Option pricing by transform methods: extensions, unification and error control (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Intermediary Asset Pricing (2013)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of Financial Decision Making. (1988)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Multilevel Monte Carlo Path Simulation (2008)Design of computer experiments: A review (2017)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,420 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory414 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"351 cited
  • 1991Path Dependent Options: The Case of Lookback Options281 cited
  • 1999Connecting discrete and continuous path-dependent options208 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
  • 2005An exact analytical solution for discrete barrier options89 cited
  • 1998An explicit finite difference approach to the pricing of barrier options88 cited
  • 2000Evaluating first-passage probabilities for spectrally one-sided Lévy processes85 cited
  • 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options83 cited

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  • 2004Numerical pricing of discrete barrier and lookback options via Laplace transforms78 cited
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