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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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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 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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Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
Jin, X.; Deng, S. - In: Journal of mathematical economics 28 (1997) 2, pp. 187-206
Persistent link: https://www.econbiz.de/10006060975