AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING (Q2947345): Difference between revisions

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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+Russian and American put options under exponential phase-type Lévy models.
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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+On the optimal dividend problem for a spectrally negative Lévy process
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+Dual pricing of multi-exercise options under volume constraints
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+Maturity randomization for stochastic control problems
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+Valuation of stock loans with jump risk
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+Optimal Multiple Stopping of Linear Diffusions
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+Randomization and the American Put
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+Resolvent-techniques for multiple exercise problems
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+An optimal multiple stopping approach to infrastructure investment decisions
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+Optimal multiple stopping models of reload options and shout options
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+Default swap games driven by spectrally negative Lévy processes
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+Phase-type Fitting of scale functions for spectrally negative Lévy processes
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+Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
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+Risk aversion and block exercise of executive stock options
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+OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
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+Optimal capital structure and endogenous default
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+Optimal multiple stopping time problem
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
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+Perpetual options and Canadization through fluctuation theory
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+Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
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+Optimal Timing to Purchase Options
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+Accounting for risk aversion in derivatives purchase timing
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+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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+Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
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+American step-up and step-down default swaps under Lévy models
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+Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier
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+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
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+Investment and the Valuation of Firms When There is an Option to Shut Down
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+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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+Optimal stopping and perpetual options for Lévy processes
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+OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS
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+Absolute continuity of infinitely divisible distributions
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+STOCK LOANS
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
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