4 citations · 6 across the 5 of their papers we have counts for
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math.CA2013★ 2 cited
On a Brownian excursion law, I: convolution representations
Michael Schröder
This paper studies Brownian motion subject to the occurrence of a minimal length excursion below a given excursion level. The law of this process is determined. The characterizatio…
math.CA2002★ 4 cited
Analytical ramifications of derivatives valuation: Asian options and special functions
Michael Schröder
Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numer…
math.CA2000
On the valuation of Paris options: foundational results
Michael Schröder
This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace…