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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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Additive subordination and its applications in finance
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael - In: Finance and stochastics 20 (2016) 3, pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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A general approach for Parisian stopping times under Markov processes
Zhang, Gongqiu; Li, Lingfei - In: Finance and stochastics 27 (2023) 3, pp. 769-829
Persistent link: https://www.econbiz.de/10014328990
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Lookback options and diffusion hitting times : a spectral expansion approach
Linetsky, Vadim - In: Finance and stochastics 8 (2004) 3, pp. 373-398
Persistent link: https://www.econbiz.de/10002130320
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Lookback options and diffusion hitting times: A spectral expansion approach
Linetsky, Vadim - In: Finance and stochastics 8 (2004) 3, pp. 373-398
Persistent link: https://www.econbiz.de/10008214761
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A jump to default extended CEV model: an application of Bessel processes
Carr, Peter; Linetsky, Vadim - In: Finance and stochastics 10 (2006) 3, pp. 303-330
Persistent link: https://www.econbiz.de/10008222488
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Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming; Linetsky, Vadim - In: Finance and stochastics 13 (2009) 4, pp. 501-530
Persistent link: https://www.econbiz.de/10008274832
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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and stochastics 15 (2011) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10009262459
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Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming; Linetsky, Vadim - In: Finance and stochastics 13 (2009) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and stochastics 15 (2011) 3, pp. 513-540
Persistent link: https://www.econbiz.de/10009303137