Exit problems in regime-switching models (Q2469551): Difference between revisions

@@ Property / author @@
-Q1801351
@@ Property / author: Q1801351 / rank @@
-Normal rank
@@ Property / author @@
+Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmateco.2007.07.001
+Normal rank
@@ Property / OpenAlex ID @@
+W3123816338
@@ Property / OpenAlex ID: W3123816338 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment with Costly Reversibility
@@ Property / cites work: Optimal Investment with Costly Reversibility / rank @@
+Normal rank
@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Adoption of uncertain multi-stage technology projects: a real options approach
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
+Normal rank
@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+American options: the EPV pricing model
@@ Property / cites work: American options: the EPV pricing model / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Stable coalitions in a continuous-time model of risk sharing
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+Irreversible investment with regime shifts
@@ Property / cites work: Irreversible investment with regime shifts / rank @@
+Normal rank
@@ Property / cites work @@
+Closed-Form Solutions for Perpetual American Put Options with Regime Switching
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Perpetual options and Canadization through fluctuation theory
+Normal rank
@@ Property / cites work @@
+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
@@ Property / cites work: PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Real options valuation. The importance of interest rate modelling in theory and practice. With a foreword by Stewart C. Myers and Ulrich Hommel.
+Normal rank
@@ Property / cites work @@
+Segmented risk sharing in a continuous-time setting.
+Normal rank