-
1
-
-
0010624752
-
The passport option
-
Andersen, L., J. Andreasen, and R. Brotherton-Ratclie (1998): The Passport Option, J. Computat. Finance 1, 15-36.
-
(1998)
J. Computat. Finance
, vol.1
, pp. 15-36
-
-
Andersen, L.1
Andreasen, J.2
Brotherton-Ratclie, R.3
-
2
-
-
84972583425
-
p norms of stochastic integrals and other martingales
-
p Norms of Stochastic Integrals and Other Martingales, Duke Math. J. 43, 697-704.
-
(1976)
Duke Math. J.
, vol.43
, pp. 697-704
-
-
Davis, B.1
-
4
-
-
84864849879
-
The distribution of a perpetuity, with applications to risk theory and pension funding
-
Dufresne, D. (1990): The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding, Scand., Actuar. J. 39-79.
-
(1990)
Scand. Actuar. J.
, pp. 39-79
-
-
Dufresne, D.1
-
5
-
-
0000285524
-
-
C.R.A.S. Paris, T. 314, Série
-
Geman, H., and M. Yor (1992a): Quelques Relations entre Processus de Bessel, Options Asiatiques et Fonctions Confluentes Hypergéométriques, C.R.A.S. Paris, T. 314, Série I, 471-474.
-
(1992)
Quelques Relations entre Processus de Bessel, Options Asiatiques et Fonctions Confluentes Hypergéométriques
, vol.1
, pp. 471-474
-
-
Geman, H.1
Yor, M.2
-
6
-
-
84889115335
-
-
Working paper, Paris VI, Labo de Probabilités
-
Geman, H., and M. Yor (1992b): Bessel Processes, Asian Options and Perpetuities. Working paper, Paris VI, Labo de Probabilités.
-
(1992)
Bessel Processes, Asian Options and Perpetuities
-
-
Geman, H.1
Yor, M.2
-
8
-
-
0002834699
-
Local time, coupling and the passport option
-
Henderson, V., and D.G. Hobson (1998): Local Time, Coupling and the Passport Option, Finance Stoch. 4, 69-81.
-
(1998)
Finance Stoch.
, vol.4
, pp. 69-81
-
-
Henderson, V.1
Hobson, D.G.2
-
9
-
-
0010558323
-
Passport to success
-
Hyer, T., A. Lipton-Lifschitz, and D. Pugachevsky (1997): Passport to Success, RISK 10, 127-131.
-
(1997)
RISK
, vol.10
, pp. 127-131
-
-
Hyer, T.1
Lipton-Lifschitz, A.2
Pugachevsky, D.3
-
11
-
-
0010591896
-
Self-similarities and similarities of path-dependent options
-
Lipton A. (1999): Self-similarities and Similarities of Path-Dependent Options, RISK 12(9), 101-105.
-
(1999)
RISK
, vol.12
, Issue.9
, pp. 101-105
-
-
Lipton, A.1
-
12
-
-
0010626274
-
Pricing of passport option
-
Nagayama, I. (1999): Pricing of Passport Option. J. Math. Sci. Univ. Tokyo 5, 747 785.
-
(1999)
J. Math. Sci. Univ. Tokyo
, vol.5
, pp. 747-785
-
-
Nagayama, I.1
-
14
-
-
0010555786
-
On stopping times for a wiener process
-
Novikov, A.A. (1971a): On Stopping Times for a Wiener Process, Theory. Prob. Appl. 16, 449-456.
-
(1971)
Theory. Prob. Appl.
, vol.16
, pp. 449-456
-
-
Novikov, A.A.1
-
15
-
-
0010555786
-
On moment inequalities for stochastic integrals
-
Novikov, A.A. (1971b): On Moment Inequalities for Stochastic Integrals, Theory. Prob. Appl. 16, 538-541.
-
(1971)
Theory. Prob. Appl.
, vol.16
, pp. 538-541
-
-
Novikov, A.A.1
-
18
-
-
0001599563
-
A first passage problem for the wiener process
-
Shepp, L. (1967): A First Passage Problem for the Wiener Process, Ann. Math. Statist. 38, 1912-1914.
-
(1967)
Ann. Math. Statist.
, vol.38
, pp. 1912-1914
-
-
Shepp, L.1
-
19
-
-
0010553164
-
Options on a traded account
-
Shreve, S., and J. Večeř (2000): Options on a Traded Account, Finance Stoch. 4, 255-274.
-
(2000)
Finance Stoch.
, vol.4
, pp. 255-274
-
-
Shreve, S.1
Večeř, J.2
-
21
-
-
0039941060
-
On square root boundaries for bessel processes and pole seeking Brownian motion
-
Berlin-Heidelberg-New York: Springer
-
Yor, M. (1984): On Square Root Boundaries for Bessel Processes and Pole Seeking Brownian motion, Stochastic Analysis and Applications, Lecture Notes in Mathematics No. 1095. Berlin-Heidelberg-New York: Springer.
-
(1984)
Stochastic Analysis and Applications, Lecture Notes in Mathematics
, vol.1095
-
-
Yor, M.1
-
22
-
-
0000300111
-
Sur certaines fonctionnelles exponentielles du mouvement brownien réel
-
Yor, M. (1992a): Sur Certaines Fonctionnelles Exponentielles du Mouvement Brownien Réel, J. Appl. Probab. 29, 202-208.
-
(1992)
J. Appl. Probab.
, vol.29
, pp. 202-208
-
-
Yor, M.1
-
23
-
-
0000364811
-
On some exponential functionals of Brownian motion
-
Yor, M. (1992b): On Some Exponential Functionals of Brownian Motion, Adv. Appl. Prob. 3, 509-531.
-
(1992)
Adv. Appl. Prob.
, vol.3
, pp. 509-531
-
-
Yor, M.1
|