4 papers
Last Hitting Time Distributions for Solvable Diffusions
Giuseppe Campolieti, Yaode Sui
By considering any one-dimensional time-homogeneous solvable diffusion process,this paper develops a complete analytical framework for computing the distribution of the last hittin…
Pricing Step Options under the CEV and other Solvable Diffusion Models
Giuseppe Campolieti, Roman N. Makarov, Karl Wouterloot
We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-for…
Bridge Copula Model for Option Pricing
Giuseppe Campolieti, Roman N. Makarov, Andrey Vasiliev
In this paper we present a new multi-asset pricing model, which is built upon newly developed families of solvable multi-parameter single-asset diffusions with a nonlinear smile-sh…
Dual Stochastic Transformations of Solvable Diffusions
Giuseppe Campolieti, Roman N. Makarov
We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analyti…