Pricing equity default swaps under the jump-to-default extended CEV model (English)
Finance and Stochastics 15, No. 3, 513-540 (2011).
1
An algorithm for linear complementarity and its application in American options pricing. (English)
Simos, Theodore E. (ed.) et al., Numerical analysis and applied mathematics. International conference on numerical analysis and applied mathematics, Rethymno, Crete, Greece, September 18‒22, 2009. Vol. 2. Melville, NY: American Institute of Physics (AIP) (ISBN 978-0-7354-0708-4/hbk; 978-0-7354-0709-1/set). AIP Conference Proceedings 1168, 2, 1400-1402 (2009).
2
Pricing options in jump-diffusion models: an extrapolation approach (English)
Operations Research 56, No. 2, 304-325 (2008).
3
A jump to default extended CEV model: an application of Bessel processes (English)
Finance and Stochastics 10, No. 3, 303-330 (2006).
4
On the transition densities for reflected diffusions. (English)
Adv. Appl. Probab. 37, No. 2, 435-460 (2005).
5
The spectral representation of Bessel processes with constant drift: applications in queueing and finance. (English)
J. Appl. Probab. 41, No. 2, 327-344 (2004).
6
Spectral expansions for asian (Average price) options (English)
Operations Research 52, No. 6, 856-867 (2004).
7
Pricing options on scalar diffusions: an eigenfunction expansion approach (English)
Operations Research 51, No. 2, 185-209 (2003).
8
Start
Contact
Print
General Help
