-
1
-
-
27544447048
-
The fourier-series method for inverting transforms of probability distributions
-
Abate, J. and Whitt, W. (1999). The Fourier-series method for inverting transforms of probability distributions. Queueing Systems 10, 5-88.
-
(1992)
Queueing Systems
, vol.10
, pp. 5-88
-
-
Abate, J.1
Whitt, W.2
-
3
-
-
21344441885
-
Discretization error in simulation of one-dimensional reflecting brownian motion
-
Asmussen, S., Glynn, P. and Pitman, J. (1995). Discretization error in simulation of one-dimensional reflecting Brownian motion. Ann. Appl. Prob. 5, 875-896.
-
(1995)
Ann. Appl. Prob.
, vol.5
, pp. 875-896
-
-
Asmussen, S.1
Glynn, P.2
Pitman, J.3
-
6
-
-
0004044694
-
-
Cambridge University Press
-
Bertoin, J. (1996). Lévy Processes. Cambridge University Press.
-
(1996)
Lévy Processes
-
-
Bertoin, J.1
-
7
-
-
0016645863
-
Fluctuation theory in continuous time
-
Bingham, N. H. (1975). Fluctuation theory in continuous time. Adv. Appl. Prob. 7, 705-766.
-
(1975)
Adv. Appl. Prob.
, vol.7
, pp. 705-766
-
-
Bingham, N.H.1
-
8
-
-
0036439755
-
Barrier options and touch-and-out options under regular Lévy processes of exponential type
-
Boyarchenko, S. and Levendorskiǐ, S. (2002). Barrier options and touch-and-out options under regular Lévy processes of exponential type. Ann. Appl. Prob. 12, 1261-1298.
-
(2002)
Ann. Appl. Prob.
, vol.12
, pp. 1261-1298
-
-
Boyarchenko, S.1
Levendorskiǐ, S.2
-
11
-
-
0032113775
-
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
-
Gerber, H. and Landry, B. (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance Math. Econom. 22, 263-276.
-
(1998)
Insurance Math. Econom.
, vol.22
, pp. 263-276
-
-
Gerber, H.1
Landry, B.2
-
12
-
-
0038447793
-
The term structure of simple forward rates with jump risk
-
Glasserman, P. and Kou, S. G. (2003). The term structure of simple forward rates with jump risk. To appear in Math. Finance.
-
(2003)
Math. Finance
-
-
Glasserman, P.1
Kou, S.G.2
-
13
-
-
0003890315
-
-
Prentice-Hall, Englewood Cliffs, NJ
-
Hull, J. C. (1999). Options, Futures, and Other Derivative Securities, 4th edn. Prentice-Hall, Englewood Cliffs, NJ.
-
(1999)
Options, Futures, and Other Derivative Securities, 4th Edn.
-
-
Hull, J.C.1
-
14
-
-
0012896944
-
On some relations between the harmonic measure and the Lévy measure for a certain class of Markov processes
-
Ikeda, N. and Watanabe, S. (1962). On some relations between the harmonic measure and the Lévy measure for a certain class of Markov processes. J. Math. Kyoto Univ. 2, 79-95.
-
(1962)
J. Math. Kyoto Univ.
, vol.2
, pp. 79-95
-
-
Ikeda, N.1
Watanabe, S.2
-
18
-
-
0036698288
-
A jump diffusion model for option pricing
-
Kou, S. G. (2002). A jump diffusion model for option pricing. Manag. Sci. 48, 1086-1101.
-
(2002)
Manag. Sci.
, vol.48
, pp. 1086-1101
-
-
Kou, S.G.1
-
19
-
-
0010732155
-
Option pricing under a double exponential jump diffusion model
-
Preprint, Columbia University and Brown University
-
Kou, S. G. and Wang, H. (2001). Option pricing under a double exponential jump diffusion model. Preprint, Columbia University and Brown University.
-
(2001)
-
-
Kou, S.G.1
Wang, H.2
-
20
-
-
34248474317
-
Option pricing when the underlying stock returns are discontinuous
-
Merton, R. C. (1976). Option pricing when the underlying stock returns are discontinuous. J. Financial Econom. 3, 115-144.
-
(1976)
J. Financial Econom.
, vol.3
, pp. 115-144
-
-
Merton, R.C.1
-
21
-
-
0038447792
-
On joint distributions of random variables associated with fluctuations of a process with independent increment
-
Pecherskii, E. A. and Rogozin, B. A. (1969). On joint distributions of random variables associated with fluctuations of a process with independent increment. Theory Prob. Appl. 15, 410-423.
-
(1969)
Theory Prob. Appl.
, vol.15
, pp. 410-423
-
-
Pecherskii, E.A.1
Rogozin, B.A.2
-
22
-
-
0037770953
-
Lévy system and path decompositions
-
(Evanston, IL, 1981), Birkhäuser, Boston, MA
-
Pitman, J. W. (1981). Lévy system and path decompositions. In Seminar on Stochastic Processes (Evanston, IL, 1981), Birkhäuser, Boston, MA, pp. 79-110.
-
(1981)
Seminar on Stochastic Processes
, pp. 79-110
-
-
Pitman, J.W.1
-
24
-
-
0034336883
-
Evaluating first-passage probabilities for spectrally one-sided Lévy processes
-
Rogers, L. C. G. (2000). Evaluating first-passage probabilities for spectrally one-sided Lévy processes. J. Appl. Prob. 37, 1173-1180.
-
(2000)
J. Appl. Prob.
, vol.37
, pp. 1173-1180
-
-
Rogers, L.C.G.1
-
25
-
-
0001522004
-
On the distribution of functionals related to boundary problems for processes with independent increments
-
Rogozin, B. A. (1966). On the distribution of functionals related to boundary problems for processes with independent increments. Theory Prob. Appl. 11, 580-591.
-
(1966)
Theory Prob. Appl.
, vol.11
, pp. 580-591
-
-
Rogozin, B.A.1
-
28
-
-
0037770954
-
Conditionnement par rapport au passé strict
-
(Lecture Notes Math. 191). Springer, Berlin
-
Weil, M. (1971). Conditionnement par rapport au passé strict. In Séminaire de Probabilités V, Université de Strasbourg, année universitaire 1969-1970 (Lecture Notes Math. 191). Springer, Berlin, pp. 362-372.
-
(1971)
Séminaire de Probabilités V, Université de Strasbourg, Année Universitaire 1969-1970
, pp. 362-372
-
-
Weil, M.1
|