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Valuing vulnerable Asian options with liquidity risk under Lévy processes
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 37 / Issue 3 / July 2023
- Published online by Cambridge University Press:
- 07 February 2022, pp. 653-673
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SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 33 / Issue 2 / April 2019
- Published online by Cambridge University Press:
- 05 June 2018, pp. 258-290
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Essentially exact asymptotic solutions for Asian derivatives
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- European Journal of Applied Mathematics / Volume 23 / Issue 3 / June 2012
- Published online by Cambridge University Press:
- 10 January 2012, pp. 395-415
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The integral of geometric Brownian motion
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- Advances in Applied Probability / Volume 33 / Issue 1 / March 2001
- Published online by Cambridge University Press:
- 01 July 2016, pp. 223-241
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- March 2001
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