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Dmitry Davydov
Information about the author Dmitry Davydov will soon be added to the site.
Found
2 papers
in total
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Pricing options on scalar diffusions: An eigenfunction expansion approach
2003
This paper develops an eigenfunction expansion approach to pricing options on scalar...
Pricing and hedging path-dependent options under the CEV process
2001
Much of the work on path-dependent options assumes that the underlying asset price...
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