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Vadim Linetsky
Vadim Linetsky
Verified email at iems.northwestern.edu
Title
Cited by
Cited by
Year
Pricing and hedging path-dependent options under the CEV process
D Davydov, V Linetsky
Management science 47 (7), 949-965, 2001
3742001
A jump to default extended CEV model: an application of Bessel processes
P Carr, V Linetsky
Finance and Stochastics 10, 303-330, 2006
2852006
Spectral expansions for Asian (average price) options
V Linetsky
Operations Research 52 (6), 856-867, 2004
2782004
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: a fast Hilbert transform approach
L Feng, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
2122008
The spectral decomposition of the option value
V Linetsky
International Journal of Theoretical and Applied Finance 7 (03), 337-384, 2004
2102004
Pricing options on scalar diffusions: an eigenfunction expansion approach
D Davydov, V Linetsky
Operations research 51 (2), 185-209, 2003
2032003
Pricing options in jump-diffusion models: an extrapolation approach
L Feng, V Linetsky
Operations Research 56 (2), 304-325, 2008
1942008
Pricing equity derivatives subject to bankruptcy
V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
1792006
Black's model of interest rates as options, eigenfunction expansions and Japanese interest rates
V Gorovoi, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
1792004
The path integral approach to financial modeling and options pricing
V Linetsky
Computational Economics 11, 129-163, 1997
1631997
Handbooks in operations research and management science: Transportation
C Barnhart, G Laporte
Elsevier, 2006
154*2006
Time‐Changed Markov Processes in Unified Credit‐Equity Modeling
R Mendoza‐Arriaga, P Carr, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
1492010
Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models
V Linetsky
Journal of Computational Finance 7, 1-22, 2004
1472004
On the transition densities for reflected diffusions
V Linetsky
Advances in Applied Probability 37 (2), 435-460, 2005
1352005
Step options
V Linetsky
Mathematical Finance 9 (1), 55-96, 1999
1271999
Lookback options and diffusion hitting times: A spectral expansion approach
V Linetsky
Finance and Stochastics 8, 373-398, 2004
1242004
The valuation and hedging of barrier and lookback options under the CEV process
D Davydov, V Linetsky
Management Science 47 (7), 949-965, 2001
1192001
The valuation of executive stock options in an intensity-based framework
P Carr, V Linetsky
Review of Finance 4 (3), 211-230, 2000
1172000
Spectral methods in derivatives pricing
V Linetsky
Handbooks in Operations Research and Management Science 15, 223-299, 2007
1072007
A superconformal theory of massless higher spin fields in d= 2+ 1
ES Fradkin, VY Linetsky
Modern Physics Letters A 4 (08), 731-744, 1989
941989
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