Path-dependent functionals of constant elasticity of variance and related processes : distributional results and applications in finance
The present thesis provides an analysis of some path-dependent functionals of Constant Elasticity of Variance (CEV) processes. More precisely, we study the continuous arithmetic average of the process over time, plain or sometimes multiplied by a knock-out indicator. We start by describing its mathe...
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London School of Economics and Political Science (University of London)
2003
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.406061 |