Vadim Linetsky

According to our database1, Vadim Linetsky authored at least 15 papers between 2001 and 2018.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

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Bibliography

2018
Long-term factorization in Heath-Jarrow-Morton models.
Finance Stochastics, 2018

2016
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing.
Oper. Res., 2016

2015
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach.
Finance Stochastics, 2015

2013
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach.
Oper. Res., 2013

2011
On the solution of complementarity problems arising in American options pricing.
Optim. Methods Softw., 2011

Pricing equity default swaps under the jump-to-default extended CEV model.
Finance Stochastics, 2011

Valuation of collateralized debt obligations in a multivariate subordinator model.
Proceedings of the Winter Simulation Conference 2011, 2011

2009
Computing exponential moments of the discrete maximum of a Lévy process and lookback options.
Finance Stochastics, 2009

2008
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.
Oper. Res., 2008

2007
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.
J. Sci. Comput., 2007

2006
A jump to default extended CEV model: an application of Bessel processes.
Finance Stochastics, 2006

2004
Spectral Expansions for Asian (Average Price) Options.
Oper. Res., 2004

Lookback options and diffusion hitting times: A spectral expansion approach.
Finance Stochastics, 2004

2003
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach.
Oper. Res., 2003

2001
Pricing and Hedging Path-Dependent Options Under the CEV Process.
Manag. Sci., 2001


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