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Found 81 Documents (Results 1–81)

Laplace transform identities for diffusions, with applications to rebates and barrier options. (English) Zbl 1153.60381

Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 139-157 (2008).

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