Scott Alan Glasgow

Brigham Young University

Provo, UT 84602

United States

SCHOLARLY PAPERS

2

DOWNLOADS

271

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Probability Density of the CIR Model

Number of pages: 8 Posted: 13 Oct 2014
Andras Vanyolos, Maxx Cho and Scott Alan Glasgow
Independent, University of Maryland and Brigham Young University
Downloads 201 (154,689)

Abstract:

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Transition density, CIR model, Kolmogorov equation, Quantum Mechanics

2.

A Novel Reduction of the Simple Asian Option and Lie-Group Invariant Solutions

International Journal of Theoretical and Applied Finance, Vol. 12, No. 8, p. 1197, 2009
Number of pages: 10 Posted: 02 Apr 2011
Stephen Michael Taylor and Scott Alan Glasgow
New Jersey Institute of Technology and Brigham Young University
Downloads 70 (336,901)

Abstract:

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Asian Options, PDE Reductions, Vecer Reduction, Lie Symmetry Analysis