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q-fin.PR2013
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…
q-fin.PR2011
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…
q-fin.PR2009
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…