Perpetual options and Canadization through fluctuation theory (Q1425486): Difference between revisions

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-.1214/aoap/1060202835
@@ Property / DOI: 10.1214/aoap/1060202835 / rank @@
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+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
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+Arbitrage pricing of Russian options and perpetual lookback options
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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+On the Russian option: The expected waiting time
@@ Property / cites work: On the Russian option: The expected waiting time / rank @@
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+Semi-stable Markov processes. I
@@ Property / cites work: Semi-stable Markov processes. I / rank @@
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+Q3215519
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+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
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+The Russian option: Reduced regret
@@ Property / cites work: The Russian option: Reduced regret / rank @@
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@@ Property / DOI: 10.1214/AOAP/1060202835 / rank @@
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