Applications of δ-function perturbation to the pricing of derivative securities

Physica A: Statistical Mechanics and its Applications

Volumn 342, Issue 3-4, 2004, Pages 677-692

  Decamps, Marc ^a   De Schepper, Ann ^b   Goovaerts, Marc ^a,c  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF ANTWERP   (Belgium)

^c UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

function perturbation; Comonotonicity; Functional integrals; Local time; Option pricing; Skew Brownian motion

Indexed keywords

DIFFERENTIAL EQUATIONS; FINANCE; FUNCTIONS; INTEGRAL EQUATIONS; LAPLACE TRANSFORMS; PERTURBATION TECHNIQUES;

FUNCTIONAL INTEGRALS; OPTION PRICING; SKEW BROWNIAN MOTION;

INDUSTRIAL ECONOMICS;

EID: 4544244210     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.05.035     Document Type: Article

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