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PASSPORT OPTIONS
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PASSPORT OPTIONS (2002)PASSPORT OPTIONSOptions on a traded account: Vacation calls, vacation puts and passport options (2000)Options on a traded account: …Local time, coupling and the passport option (2000)Local time, coupling and the …The passport option (1998)The passport optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…Sur certaines fonctionnelles exponentielles du mouvement brownien réel (1992)Sur certaines fonctionnelles …On some exponential functionals of Brownian motion (1992)On some exponential functiona…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…On the Lp norms of stochastic integrals and other martingales (1976)On the Lp norms of stochastic…On Stopping Times for a Wiener Process (1971)On Stopping Times for a Wiene…On Moment Inequalities for Stochastic Integrals (1971)On Moment Inequalities for St…Markov Decision Processes in Finance and Dynamic Options (2002)Markov Decision Processes in …Continuous Martingales and Brownian Motion (1999)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)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Lévy processes (2005)Stochastic Differential Equations (2006)Mean stochastic comparison of diffusions (1985)Singular Perturbations for Boundary Value Problems Arising from Exotic Options (2004)The Effect of the Real Option to Transfer on the Value of Guaranteed Minimum Death Benefits (2006)Brownian Motion and Stochastic Calculus (2007)Numerical Methods for Nonlinear PDEs in Finance (2011)A pricing method for options based on average asset values (1990)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)On some maximal inequalities for fractional Brownian motions (1999)Continuity of the optimal stopping boundary for two-dimensional diffusions (2018)$L^P$ Estimates on Iterated Stochastic Integrals (1991)The Skorokhod embedding problem and its offspring (2004)On the Burkholder–Davis–Gundy inequalities for continuous martingales (2008)An Efficient Transform Method for Asian Option Pricing (2016)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)A general version of the fundamental theorem of asset pricing (1994)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1976On the Lp norms of stochastic integrals and other martingales122 cited
  • 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel87 cited
  • 1971On Moment Inequalities for Stochastic Integrals78 cited
  • 2000Options on a traded account: Vacation calls, vacation puts and passport options53 cited
  • 1998The passport option51 cited
  • 1971On Stopping Times for a Wiener Process42 cited
  • 2000Local time, coupling and the passport option40 cited

Cited by

  • 2002Markov Decision Processes in Finance and Dynamic Options21 cited

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