Add to ORKGThis paper provides a survey of results on the quantiles of a Brownian motion with drift as well as a general Lévy process. The motivation is to calculate the price of related financial options. At the end of the paper some new results on variability orderings between various quantities associated with path dependent and European options are presented. This survey is not exhaustive, but intends to provide a flavour of research carried out in the area
In this paper we derive analytic expressions for the value of European Put and Call options when th...
The Brownian excursion is defined as a standard Brownian motion conditioned on starting and ending a...
University of Technology Sydney. Faculty of Business.The Global Financial Crisis (GFC) has revealed ...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
In this communication, we discuss some properties of a class of path dependent options based on the ...
This document describes work undertaken as a masters programme of study at the University of KwaZulu...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
This thesis is devoted to the study of some applications of quantization to Financial Mathematics, e...
1. Quantile options and options based on occupation times. I have done an amount of research on this...
Dissertation (MSc)--University of Pretoria, 2018.A Lévy process is a stochastic process that has sta...
The Brownian Motion of visible particles suspended in a fluid led to one of the first accurate det...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
Lévy processes are becoming increasingly important in Mathematical Finance. This thesis aims to con...
L????vy processes are becoming increasingly important in Mathematical Finance. This thesis aims to c...
In this paper we derive analytic expressions for the value of European Put and Call options when th...
The Brownian excursion is defined as a standard Brownian motion conditioned on starting and ending a...
University of Technology Sydney. Faculty of Business.The Global Financial Crisis (GFC) has revealed ...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
In this communication, we discuss some properties of a class of path dependent options based on the ...
This document describes work undertaken as a masters programme of study at the University of KwaZulu...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
This thesis is devoted to the study of some applications of quantization to Financial Mathematics, e...
1. Quantile options and options based on occupation times. I have done an amount of research on this...
Dissertation (MSc)--University of Pretoria, 2018.A Lévy process is a stochastic process that has sta...
The Brownian Motion of visible particles suspended in a fluid led to one of the first accurate det...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
Lévy processes are becoming increasingly important in Mathematical Finance. This thesis aims to con...
L????vy processes are becoming increasingly important in Mathematical Finance. This thesis aims to c...
In this paper we derive analytic expressions for the value of European Put and Call options when th...
The Brownian excursion is defined as a standard Brownian motion conditioned on starting and ending a...
University of Technology Sydney. Faculty of Business.The Global Financial Crisis (GFC) has revealed ...