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dc.contributor.author
Patie, Pierre
dc.date.accessioned
2017-06-09T10:30:37Z
dc.date.available
2017-06-09T10:30:37Z
dc.date.issued
2005-04
dc.identifier.other
10.1016/j.spa.2004.11.003
dc.identifier.uri
http://hdl.handle.net/20.500.11850/33282
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Generalized ornstein-uhlenbeck process
dc.subject
Stable process
dc.subject
First passage time
dc.subject
Martingales
dc.subject
Special functions
dc.subject
Term structure
dc.subject
Path dependent options
dc.title
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
dc.type
Journal Article
ethz.journal.title
Stochastic Processes and their Applications
ethz.journal.volume
115
ethz.journal.issue
4
ethz.journal.abbreviated
Stoch. process. their appl.
ethz.pages.start
593
ethz.pages.end
607
ethz.notes
Received 25 April 2003, Revised 21 June 2004, Accepted 15 November 2004, Available online 8 December 2004.
ethz.identifier.wos
ethz.identifier.nebis
000025024
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
03440 - Delbaen, Freddy
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.leitzahl.certified
03440 - Delbaen, Freddy
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T10:30:59Z
ethz.source
ECIT
ethz.identifier.importid
imp59364de6bb37072286
ethz.ecitpid
pub:53983
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-15T07:09:31Z
ethz.rosetta.lastUpdated
2019-02-02T05:23:00Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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