Pages that link to "Item:Q1431556"
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The following pages link to Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (Q1431556):
Displayed 50 items.
- Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879) (← links)
- Exit identities for Lévy processes observed at Poisson arrival times (Q282534) (← links)
- Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises (Q300145) (← links)
- Number of jumps in two-sided first-exit problems for a compound Poisson process (Q340120) (← links)
- Optimal stopping problems for the maximum process with upper and lower caps (Q389066) (← links)
- Meromorphic Lévy processes and their fluctuation identities (Q433907) (← links)
- Occupation densities in solving exit problems for Markov additive processes and their reflections (Q444361) (← links)
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes (Q449406) (← links)
- On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
- Games of singular control and stopping driven by spectrally one-sided Lévy processes (Q468726) (← links)
- Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (Q477067) (← links)
- Markov chain approximations to scale functions of Lévy processes (Q492961) (← links)
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models (Q496121) (← links)
- De Finetti's optimal dividends problem with an affine penalty function at ruin (Q659188) (← links)
- Smoothness of scale functions for spectrally negative Lévy processes (Q718902) (← links)
- Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes (Q739497) (← links)
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options (Q765888) (← links)
- Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process (Q784432) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- On minimizing drawdown risks of lifetime investments (Q896742) (← links)
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory (Q903681) (← links)
- The integral option in a model with jumps (Q952844) (← links)
- Convexity and smoothness of scale functions and de Finetti's control problem (Q975331) (← links)
- Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system (Q975792) (← links)
- The alternating marked point process of \(h\)-slopes of drifted Brownian motion (Q1019609) (← links)
- Exit problems for the difference of a compound Poisson process and a compound renewal process (Q1025609) (← links)
- On an explicit Skorokhod embedding for spectrally negative Lévy processes (Q1028617) (← links)
- Perpetual options and Canadization through fluctuation theory (Q1425486) (← links)
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms (Q1669250) (← links)
- Maximum loss and maximum gain of spectrally negative Lévy processes (Q1675705) (← links)
- Complete discounted cash flow valuation (Q1681180) (← links)
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes (Q1721911) (← links)
- A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes (Q1742706) (← links)
- First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (Q1934375) (← links)
- Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process (Q2001232) (← links)
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes (Q2015644) (← links)
- Pricing American drawdown options under Markov models (Q2030371) (← links)
- Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes (Q2042048) (← links)
- General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes (Q2076351) (← links)
- Exit problems for positive self-similar Markov processes with one-sided jumps (Q2091523) (← links)
- An optimal stopping problem for spectrally negative Markov additive processes (Q2145820) (← links)
- Perpetual American double lookback options on drawdowns and drawups with floating strikes (Q2152239) (← links)
- Optimal double stopping problems for maxima and minima of geometric Brownian motions (Q2152240) (← links)
- A two-parameter family of measure-valued diffusions with Poisson-Dirichlet stationary distributions (Q2170375) (← links)
- On the dual risk model with diffusion under a mixed dividend strategy (Q2177679) (← links)
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
- The Leland-Toft optimal capital structure model under Poisson observations (Q2211349) (← links)
- Optimal stopping problems for running minima with positive discounting rates (Q2216971) (← links)
- A drawdown reflected spectrally negative Lévy process (Q2224959) (← links)