Matches in SemOpenAlex for { <https://semopenalex.org/work/W1993236776> ?p ?o ?g. }
Showing items 1 to 74 of
74
with 100 items per page.
- W1993236776 endingPage "685" @default.
- W1993236776 startingPage "641" @default.
- W1993236776 abstract "The focus of the article is on convolutions of functions, and their explicit determination. Three methods are developed for this when the single factors are amenable to the Laplace transform, and applied to Probability and Finance. The methods have special-function character, while they proceed in terms of differentiation of the given functions and amount to real-analysis ways for analytic inversion of Laplace transforms. Probabilistically, the set-up corresponds to asking about the law of sums of independent random variables when the laws of the single summands are known, and the methods of the paper are demonstrated for the convolution constituents of the Brownian minimum-length excursion law identified in (1). Financially, two methodologies for the ‘exact’ valuation and hedging of Parisian barrier options are developed as consequences of these results; numerical illustrations of them are given highlighting situations ‘near the option barrier’." @default.
- W1993236776 created "2016-06-24" @default.
- W1993236776 creator A5045368238 @default.
- W1993236776 date "2014-10-24" @default.
- W1993236776 modified "2023-10-16" @default.
- W1993236776 title "On three methods for explicit handling of convolutions as applied to brownian excursions and parisian barrier options" @default.
- W1993236776 doi "https://doi.org/10.1093/qjmam/hbu022" @default.
- W1993236776 hasPublicationYear "2014" @default.
- W1993236776 type Work @default.
- W1993236776 sameAs 1993236776 @default.
- W1993236776 citedByCount "1" @default.
- W1993236776 countsByYear W19932367762016 @default.
- W1993236776 crossrefType "journal-article" @default.
- W1993236776 hasAuthorship W1993236776A5045368238 @default.
- W1993236776 hasBestOaLocation W19932367761 @default.
- W1993236776 hasConcept C10138342 @default.
- W1993236776 hasConcept C105795698 @default.
- W1993236776 hasConcept C109007969 @default.
- W1993236776 hasConcept C112401455 @default.
- W1993236776 hasConcept C119857082 @default.
- W1993236776 hasConcept C126255220 @default.
- W1993236776 hasConcept C134306372 @default.
- W1993236776 hasConcept C151730666 @default.
- W1993236776 hasConcept C162324750 @default.
- W1993236776 hasConcept C186027771 @default.
- W1993236776 hasConcept C1893757 @default.
- W1993236776 hasConcept C2776631005 @default.
- W1993236776 hasConcept C28826006 @default.
- W1993236776 hasConcept C33923547 @default.
- W1993236776 hasConcept C41008148 @default.
- W1993236776 hasConcept C45347329 @default.
- W1993236776 hasConcept C50644808 @default.
- W1993236776 hasConcept C86803240 @default.
- W1993236776 hasConcept C97937538 @default.
- W1993236776 hasConceptScore W1993236776C10138342 @default.
- W1993236776 hasConceptScore W1993236776C105795698 @default.
- W1993236776 hasConceptScore W1993236776C109007969 @default.
- W1993236776 hasConceptScore W1993236776C112401455 @default.
- W1993236776 hasConceptScore W1993236776C119857082 @default.
- W1993236776 hasConceptScore W1993236776C126255220 @default.
- W1993236776 hasConceptScore W1993236776C134306372 @default.
- W1993236776 hasConceptScore W1993236776C151730666 @default.
- W1993236776 hasConceptScore W1993236776C162324750 @default.
- W1993236776 hasConceptScore W1993236776C186027771 @default.
- W1993236776 hasConceptScore W1993236776C1893757 @default.
- W1993236776 hasConceptScore W1993236776C2776631005 @default.
- W1993236776 hasConceptScore W1993236776C28826006 @default.
- W1993236776 hasConceptScore W1993236776C33923547 @default.
- W1993236776 hasConceptScore W1993236776C41008148 @default.
- W1993236776 hasConceptScore W1993236776C45347329 @default.
- W1993236776 hasConceptScore W1993236776C50644808 @default.
- W1993236776 hasConceptScore W1993236776C86803240 @default.
- W1993236776 hasConceptScore W1993236776C97937538 @default.
- W1993236776 hasIssue "4" @default.
- W1993236776 hasLocation W19932367761 @default.
- W1993236776 hasOpenAccess W1993236776 @default.
- W1993236776 hasPrimaryLocation W19932367761 @default.
- W1993236776 hasRelatedWork W2007544445 @default.
- W1993236776 hasRelatedWork W2077004574 @default.
- W1993236776 hasRelatedWork W2122887951 @default.
- W1993236776 hasRelatedWork W2123467405 @default.
- W1993236776 hasRelatedWork W2144227302 @default.
- W1993236776 hasRelatedWork W2149583263 @default.
- W1993236776 hasRelatedWork W2155868261 @default.
- W1993236776 hasRelatedWork W2511927568 @default.
- W1993236776 hasRelatedWork W4230127214 @default.
- W1993236776 hasRelatedWork W4249166261 @default.
- W1993236776 hasVolume "67" @default.
- W1993236776 isParatext "false" @default.
- W1993236776 isRetracted "false" @default.
- W1993236776 magId "1993236776" @default.
- W1993236776 workType "article" @default.