Result 1 to 14 of 14 total
An iterative procedure for solving integral equations related to optimal stopping problems. (English)
Stochastics 82, No. 4-6, 365-380 (2010).
1
Strong consistency of the empirical martingale simulation option price estimator. (English)
Acta Math. Appl. Sin., Engl. Ser. 25, No. 3, 355-368 (2009).
2
The relative entropy in CGMY processes and its applications to finance. (English)
Math. Methods Oper. Res. 66, No. 2, 327-338 (2007).
3
Degree distribution nearby the origin of a preferential attachment graph. (English)
Electron. Commun. Probab. 12, 276-282, electronic only (2007).
4
The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk. (English)
Ann. Appl. Probab. 15, No. 3, 1936-1957 (2005).
5
Computational methods for option pricing. (English)
Frontiers in Applied Mathematics 30. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 0-89871-573-3/pbk; 978-0-89871-749-5/ebook). xviii, 297~p. \$~80.00 (2005).
6
Change intolerance in spanning forests. (English)
J. Theor. Probab. 16, No.1, 47-58 (2003).
7
The minimal entropy and minimal $φ$-divergence distance martingale measures for the trinomial scheme. (English)
Appl. Math. Inform. 7, No. 2, 28-40 (2002).
8
Analytical valuation of options on joint minima and maxima. (English)
Appl. Math. Finance 8, No.4, 209-233 (2001).
9
Finite element error estimates for a nonlocal problem in American option valuation. (English)
SIAM J. Numer. Anal. 39, No.3, 834-857 (2001).
10
MSM estimators of European options on assets with jumps. (English)
Math. Finance 11, No.2, 189-203 (2001).
11
Financial applications of Monte Carlo and quasi-Monte-Carlo methods. (English)
Hellekalek, Peter (ed.) et al., Random and quasi-random point sets. New York, NY: Springer. Lect. Notes Stat. 138, 303-322 (1998).
12
Uniform and minimal essential spanning forests on trees. (English)
Random Struct. Algorithms 12, No.1, 27-50 (1998).
13
On the spectrum of a random graph. (English)
Algebraic methods in graph theory, Vol. I, Conf. Szeged 1978, Colloq. Math. Soc. János Bolyai 25, 313-316 (1981).
14
Result 1 to 14 of 14 total
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