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Pricing perpetual American swaption.
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- Mathematical Methods in the Applied Sciences, 2021, v. 44, n. 6, p. 5040, doi. 10.1002/mma.7091
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Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1237, doi. 10.1007/s11009-021-09923-0
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- Article
Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1169, doi. 10.1007/s11009-021-09902-5
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- Article
Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence.
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- Journal of Risk & Financial Management, 2018, v. 11, n. 2, p. 1, doi. 10.3390/jrfm11020025
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- Article
Perturbed Skew Diffusion Processes.
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- Mathematics (2227-7390), 2023, v. 11, n. 11, p. 2417, doi. 10.3390/math11112417
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- Article