Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(One intermediate revision by one other user not shown)
Property / cites work
 
Property / cites work: The optimal dividend barrier in the gamma-omega model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some remarks on first passage of Lévy processes, the American put and pasting principles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Randomization and the American Put / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Valuation of Executive Stock Options in an Intensity-Based Framework * / rank
 
Normal rank
Property / cites work
 
Property / cites work: Brownian Excursions and Parisian Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: American Options with guarantee – A class of two-sided stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping of Linear Diffusions with Random Discounting / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Theory of Scale Functions for Spectrally Negative Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introductory lectures on fluctuations of Lévy processes with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation times of refracted Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On magnitude, asymptotics and duration of drawdowns for Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Step Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parisian ruin probability for spectrally negative Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation times of intervals until first passage times for spectrally negative Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal stopping and perpetual options for Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: An approach for solving perpetual optimal stopping problems driven by Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3107615 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3106260648 / rank
 
Normal rank

Latest revision as of 09:49, 30 July 2024

scientific article
Language Label Description Also known as
English
Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
scientific article

    Statements

    Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (English)
    0 references
    0 references
    0 references
    7 November 2018
    0 references
    Lévy process
    0 references
    optimal stopping
    0 references
    omega clock
    0 references
    occupation times
    0 references
    random discount rate
    0 references
    impatience
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references