A Stroock formula for a certain class of Lévy processes and applications to finance.
Eddahbi, M., Solé, J.L., Vives, J. (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Stochastic differential equations with boundary conditions driven by a Poisson noise.”
A Stroock formula for a certain class of Lévy processes and applications to finance.
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Urn-related random walk with drift .
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
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Journal of Applied Mathematics and Stochastic Analysis
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Journal of Applied Mathematics and Stochastic Analysis
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Computation of Greeks for barrier and look-back options using Malliavin calculus.
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Electronic Communications in Probability [electronic only]
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Dynamical properties and characterization of gradient drift diffusions.
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