THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

By Vadim Linetsky. 2004

159 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/c443a1627f2c7f6ac852c1b3139d9a3c8c632392

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In Finance

1. Wim Schoutens
2. Lingfei Li
3. Marceau Decamps
4. Marc J. Goovaerts
5. Vadim Linetsky
6. W. Reed
7. Jan Dhaene
8. Rafael Mendoza-Arriaga

In Mathematical Physics

1. Lingfei Li
2. Marceau Decamps
3. Wim Schoutens
4. Marc J. Goovaerts
5. Vadim Linetsky

Citations in the corpus

• Self Exciting Threshold Interest Rates Models (2006, methodology): “We refer to Gorovoi and Linetsky (2004) and Linetsky (2004) for a complete account on pricing semi-groups.”
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, unknown): “…where the eigenfunction expansion technique is applied to pricing derivative securities, is fairly extensive – see Lewis (1998, 1999), Linetsky (1999, 2004a-2004e), Davidov and Linetsky (2003), Gorovoi and Linetsky (2004), Pelsser (2000), Albanese and Kuznetsov (2004) and the bibliography therein.”
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, methodology): “be found in many references, including Wong (1964), Karlin and Taylor (1981), Schoutens (2000), Bakry and Mazet (2004), Alberverio and Rudiger (2003), Alberverio and Rudiger (2005), and Gorovoi and Linetsky (2004) p.62. The general spectral representation of the transition semigroup of a symmetric M”
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (2006, methodology): “Appendix B discusses the close relationship of the process X (ν) to the pricing of Asian options (Geman and Yor 1992, 1993; Donati-Martin, Ghomrasni, and Yor 2001; Linetsky 2004a).”