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Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 51 (2023) 3, pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
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Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10011687046