Vadim Linetsky
Vadim Linetsky
Email verificata su iems.northwestern.edu
Titolo
Citata da
Citata da
Anno
Pricing and hedging path-dependent options under the CEV process
D Davydov, V Linetsky
Management science 47 (7), 949-965, 2001
3092001
Spectral expansions for Asian (average price) options
V Linetsky
Operations Research 52 (6), 856-867, 2004
2472004
A jump to default extended CEV model: an application of Bessel processes
P Carr, V Linetsky
Finance and Stochastics 10 (3), 303-330, 2006
2402006
Pricing options on scalar diffusions: an eigenfunction expansion approach
D Davydov, V Linetsky
Operations research 51 (2), 185-209, 2003
1932003
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: a fast Hilbert transform approach
L Feng, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
1812008
The spectral decomposition of the option value
V Linetsky
International Journal of Theoretical and Applied Finance 7 (03), 337-384, 2004
1722004
Black's model of interest rates as options, eigenfunction expansions and Japanese interest rates
V Gorovoi, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
1622004
Pricing options in jump-diffusion models: an extrapolation approach
L Feng, V Linetsky
Operations Research 56 (2), 304-325, 2008
1612008
Pricing equity derivatives subject to bankruptcy
V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
1612006
Time‐changed Markov processes in unified credit‐equity modeling
R Mendoza‐Arriaga, P Carr, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
1352010
The path integral approach to financial modeling and options pricing
V Linetsky
Computational Economics 11 (1-2), 129-163, 1997
1341997
Computing hitting time densities for CIR and OU diffusions: Applications to mean-reverting models
V Linetsky
Journal of Computational Finance 7, 1-22, 2004
1262004
Handbooks in operations research and management science
JR Birge
Elsevier, 2008
117*2008
Lookback options and diffusion hitting times: A spectral expansion approach
V Linetsky
Finance and Stochastics 8 (3), 373-398, 2004
1172004
On the transition densities for reflected diffusions
V Linetsky
Advances in Applied Probability 37 (2), 435-460, 2005
1122005
Step options
V Linetsky
Mathematical Finance 9 (1), 55-96, 1999
1111999
The valuation and hedging of barrier and lookback options under the CEV process
D Davydov, V Linetsky
Management Science 47 (7), 949-965, 2001
1072001
The valuation of executive stock options in an intensity-based framework
P Carr, V Linetsky
Review of Finance 4 (3), 211-230, 2000
1032000
Spectral methods in derivatives pricing
V Linetsky
Handbooks in Operations Research and Management Science 15, 223-299, 2007
882007
Structuring, pricing and hedging double-barrier step options
D Davydov, V Linetsky
Journal of Computational Finance 5 (2), 55-88, 2002
682002
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–20