American step-up and step-down default swaps under Lévy models (Q5746748): Difference between revisions

@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
+Normal rank
@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
+Normal rank
@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+The McKean stochastic game driven by a spectrally negative Lévy process
+Normal rank
@@ Property / cites work @@
+The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Bayesian Sequential Change Diagnosis
@@ Property / cites work: Bayesian Sequential Change Diagnosis / rank @@
+Normal rank
@@ Property / cites work @@
+Phase-type Fitting of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Precautionary measures for credit risk management in jump models
+Normal rank
@@ Property / cites work @@
+Optimal Stopping Games for Markov Processes
@@ Property / cites work: Optimal Stopping Games for Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+Single name credit default swaptions meet single sided jump models
+Normal rank
@@ Property / cites work @@
+Game options
@@ Property / cites work: Game options / rank @@
+Normal rank
@@ Property / cites work @@
+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
+Normal rank
@@ Property / cites work @@
+Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
+Normal rank
@@ Property / cites work @@
+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Optimal stopping and perpetual options for Lévy processes
+Normal rank
@@ Property / cites work @@
+Q2784224
@@ Property / cites work: Q2784224 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Stopping Games and Nash Equilibrium
@@ Property / cites work: Optimal Stopping Games and Nash Equilibrium / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential testing problems for Poisson processes.
+Normal rank