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The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives
Capriotti, Luca - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1179-1200
Persistent link: https://www.econbiz.de/10003395996
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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An effective approximation for zero-coupon bonds and arrow-debreu prices in the Black-Karasinski model
Stehlíková, Beáta; Capriotti, Luca - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-16
Persistent link: https://www.econbiz.de/10010438534
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Approximation methods for inhomogeneous geometric Brownian motion
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10012012939