Finite expiry Russian options (Q2485844): Difference between revisions

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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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+Randomization and the American Put
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+Integration with respect to local time
@@ Property / cites work: Integration with respect to local time / rank @@
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+Russian options with a finite time horizon
@@ Property / cites work: Russian options with a finite time horizon / rank @@
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+Quadratic covariation and an extension of Itô's formula
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+Q4086525
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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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+Perpetual options and Canadization through fluctuation theory
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+Q3527684
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+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
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+ON THE AMERICAN OPTION PROBLEM
@@ Property / cites work: ON THE AMERICAN OPTION PROBLEM / rank @@
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+The Russian option: finite horizon
@@ Property / cites work: The Russian option: finite horizon / rank @@
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+A change-of-variable formula with local time on curves
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+A Change-of-Variable Formula with Local Time on Surfaces
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+Q4172681
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+Q4845598
@@ Property / cites work: Q4845598 / rank @@
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+The Russian option: Reduced regret
@@ Property / cites work: The Russian option: Reduced regret / rank @@
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+Q4845599
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