On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
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Author
Date
2005-04Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Stochastic Processes and their ApplicationsVolume
Pages / Article No.
Publisher
ElsevierSubject
Generalized ornstein-uhlenbeck process; Stable process; First passage time; Martingales; Special functions; Term structure; Path dependent optionsOrganisational unit
03440 - Delbaen, Freddy03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 25 April 2003, Revised 21 June 2004, Accepted 15 November 2004, Available online 8 December 2004.More
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ETH Bibliography
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