Maturity randomization for stochastic control problems (Q2496502): Difference between revisions

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+Randomization and the American Put
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+Super-replication in stochastic volatility models under portfolio constraints
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+Robustness of the Black and Scholes Formula
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+Perpetual options and Canadization through fluctuation theory
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+Optimal stopping and perpetual options for Lévy processes
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+Q4350437
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+Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
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