Linetsky Vadim

Vadim Linetsky

Information about the author Vadim Linetsky will soon be added to the site.
Found 3 papers in total
Spectral expansions for Asian (average price) options
Spectral expansions for Asian (average price) options
2004
Arithmetic Asian or average price options deliver payoffs based on the average...
Pricing options on scalar diffusions: An eigenfunction expansion approach
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
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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