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Linetsky, Vadim - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 55-96
Persistent link: https://www.econbiz.de/10001363486
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Computing hitting time densities for CIR and OU diffusions : applications to mean-reverting models
Linetsky, Vadim - In: The journal of computational finance 7 (2004) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10002126756
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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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Pricing equity derivates subject to bankruptcy
Linetsky, Vadim - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 255-282
Persistent link: https://www.econbiz.de/10003325841
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Spectral methods in derivatives pricing
Linetsky, Vadim - In: Financial engineering, (pp. 223-299). 2008
Persistent link: https://www.econbiz.de/10003567126
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The valuation of executive stock options in an intensity-based framework
Carr, Peter; Linetsky, Vadim - In: European finance review : the official journal of the … 4 (2000) 3, pp. 211-230
Persistent link: https://www.econbiz.de/10001594050
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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/10001917699
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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/10003752266
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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/10003379774
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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. 541-573
Persistent link: https://www.econbiz.de/10003626607