| 2008 |
On Properties of Analytically Solvable Families of Local Volatility Diffusion Models |
 PDF (705k) |
G. Campolieti, R. Makarov |
| 2008 |
Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models |
PDF (183k) |
G. Campolieti, R. Makarov |
| 2007 |
Path Integral Pricing of Asian Options on State Dependent Volatility Models (revised version) |
PDF (421k) |
G. Campolieti, R. Makarov |
| 2007 |
Bridge Copula Method for Option Pricing under Solvable Diffusion Models |
PDF (302k) |
G. Campolieti, R. Makarov |
| 2005 |
Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge (revised version) |
PDF (460k) |
G. Campolieti, R. Makarov |
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