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PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
Feng, Liming; Linetsky, Vadim - In: Mathematical finance : an international journal of … 18 (2008) 3, pp. 337-384
Persistent link: https://www.econbiz.de/10008221067
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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Feng, Liming; Linetsky, Vadim - In: Operations research : the journal of the Operations … 56 (2008) 2, pp. 304-325
Persistent link: https://www.econbiz.de/10007997074
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Spectral Expansions for Asian (Average Price) Options
Linetsky, Vadim - In: Operations research : the journal of the Operations … 52 (2004) 6, pp. 856-867
Persistent link: https://www.econbiz.de/10006417490
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Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
Davydov, Dmitry; Linetsky, Vadim - In: Operations research : the journal of the Operations … 51 (2003) 2, pp. 185-209
Persistent link: https://www.econbiz.de/10006418148
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Pricinq and Hedging Path-Dependent Options Under the CEV Process
Davydov, Dmitry; Linetsky, Vadim - In: Management science : journal of the Institute for … 47 (2001) 7, pp. 949-965
Persistent link: https://www.econbiz.de/10006089972
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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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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Gorovoi, Viatcheslav; Linetsky, Vadim - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10008215000
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Step Options
Linetsky, Vadim - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 55
Persistent link: https://www.econbiz.de/10008218695
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INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
Gorovoy, Vyacheslav; Linetsky, Vadim - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 541-574
Persistent link: https://www.econbiz.de/10008221611
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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