Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information (Q5097216): Difference between revisions

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-Li-Bo Li
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+Li-Bo Li
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+MaRDI publication profile
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+Additional logarithmic utility of an insider
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+Normal rank
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+The Shannon information of filtrations and the additional logarithmic utility of insiders
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+Enlargement of Filtration with Finance in View
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+Normal rank
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+Russian and American put options under exponential phase-type Lévy models.
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+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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+Study of a filtration expanded to include an honest time
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+The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
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+Q5200620
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+Q4274905
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+American options in an imperfect complete market with default
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+American options with asymmetric information and reflected BSDE
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+Comparison of solutions of stochastic equations and applications
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+Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
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+Perpetual American double lookback options on drawdowns and drawups with floating strikes
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+Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs
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+Optimal double stopping problems for maxima and minima of geometric Brownian motions
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+Optimal stopping problems for maxima and minima in models with asymmetric information
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+Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns
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+On the drawdowns and drawups in diffusion-type models with running maxima and minima
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@@ Property / cites work @@
+Perpetual American options in diffusion-type models with running maxima and drawdowns
+Normal rank
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+SHORT SELLING WITH MARGIN RISK AND RECALL RISK
@@ Property / cites work: SHORT SELLING WITH MARGIN RISK AND RECALL RISK / rank @@
+Normal rank
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+Three-dimensional Brownian motion and the golden ratio rule
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+Optimal stopping and maximal inequalities for geometric Brownian motion
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+American options in a non-linear incomplete market model with default
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+Insider Trading in a Continuous Time Market Model
@@ Property / cites work: Insider Trading in a Continuous Time Market Model / rank @@
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+Some optimal stopping problems with nontrivial boundaries for pricing exotic options
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+\(\pi \) options
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+Characteristics and Constructions of Default Times
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+A capped optimal stopping problem for the maximum process
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+Q4522401
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+Random times and enlargements of filtrations in a Brownian setting.
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+Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
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+Stochastic differential equations. An introduction with applications.
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+Optimal stopping problems for the maximum process with upper and lower caps
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+Discounted optimal stopping problems for the maximum process
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+Optimal stopping of the maximum process: The maximality principle
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+A Change-of-Variable Formula with Local Time on Surfaces
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+Optimal detection of a hidden target: the median rule
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+Quickest detection of a hidden target and extremal surfaces
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+Q3378055
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+Q4226355
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+Watermark options
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+The Russian option: Reduced regret
@@ Property / cites work: The Russian option: Reduced regret / rank @@
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+Q4550922
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+Q4220653
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+Valuation of American options in the presence of event risk
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