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20142023
most citedSemi-closed form prices of barrier options in the Hull-White model

6 citations · 20 across the 14 of their papers we have counts for

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q-fin.MF2017

Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading

Dmitry Muravey

This paper studies an optimal investment problem under M-CEV with power utility function. Using Laplace transform we obtain explicit expression for optimal strategy in terms of con…