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RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION:: THE CASE OF A WEAKLY MEAN REVERTING DRIFT.
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- Stochastics & Dynamics, 2003, v. 3, n. 4, p. 435, doi. 10.1142/S0219493703000838
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- Article
CONVERGENCE OF THE CRITICAL PRICE IN THE APPROXIMATION OF AMERICAN OPTIONS.
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- Mathematical Finance, 1993, v. 3, n. 2, p. 179, doi. 10.1111/j.1467-9965.1993.tb00086.x
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- Article
HEDGING INDEX OPTIONS WITH FEW ASSETS.
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- Mathematical Finance, 1993, v. 3, n. 1, p. 25, doi. 10.1111/j.1467-9965.1993.tb00036.x
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- Article
THE SMOOTH-FIT PROPERTY IN AN EXPONENTIAL LÉVY MODEL.
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- Journal of Applied Probability, 2012, v. 49, n. 1, p. 137, doi. 10.1239/jap/1331216838
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- Article
LOCAL RISK-MINIMIZATION UNDER TRANSACTION COSTS.
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- Mathematics of Operations Research, 1998, v. 23, n. 3, p. 585, doi. 10.1287/moor.23.3.585
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- Article
EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 3, p. 1, doi. 10.1142/S0219024914500150
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- Article
On the Binomial Approximation of the American Put.
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- Applied Mathematics & Optimization, 2020, v. 82, n. 2, p. 687, doi. 10.1007/s00245-018-9545-2
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- Article
Exercise boundary of the American put near maturity in an exponential Lévy model.
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- Finance & Stochastics, 2013, v. 17, n. 2, p. 355, doi. 10.1007/s00780-012-0194-z
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- Article
The critical price for the American put in an exponential Lévy model.
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- Finance & Stochastics, 2008, v. 12, n. 4, p. 561, doi. 10.1007/s00780-008-0073-9
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- Article
An analysis of a least squares regression method for American option pricing.
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- Finance & Stochastics, 2002, v. 6, n. 4, p. 449
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- Article