Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
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Cites work
- A Change-of-Variable Formula with Local Time on Surfaces
- A jump-diffusion model for option pricing
- Arbitrage pricing of Russian options and perpetual lookback options
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- Discounted optimal stopping problems for the maximum process
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Finite expiry Russian options
- First passage times of a jump diffusion process
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- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping for a diffusion with jumps
- Optimal stopping of the maximum process: The maximality principle
- Perpetual barrier options in jump-diffusion models
- Perpetual convertible bonds in jump-diffusion models
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- The Russian option: finite horizon
- The Russian option: Reduced regret
Cited in
(30)- Optimal stopping for a diffusion with jumps
- Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals
- Three-dimensional Brownian motion and the golden ratio rule
- Pricing American drawdown options under Markov models
- An optimal stopping problem for spectrally negative Markov additive processes
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Optimal stopping problems for running minima with positive discounting rates
- Bottleneck options
- A capped optimal stopping problem for the maximum process
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Discounted optimal stopping problems for the maximum process
- On optimal stopping problems for matrix-exponential jump-diffusion processes
- On the structure of discounted optimal stopping problems for one-dimensional diffusions
- Stopping at the maximum of geometric Brownian motion when signals are received
- Quickest detection of a hidden target and extremal surfaces
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- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Discounted optimal stopping problems in continuous hidden Markov models
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- Discounted optimal stopping problems in first-passage time models with random thresholds
- An optimal stopping problem for a geometric Brownian motion with Poissonian jumps
- Double continuation regions for American options under Poisson exercise opportunities
- Optimal stopping for a compound Poisson process with exponential jumps
- Perpetual American compound fixed-strike lookback options on maxima drawdowns
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- Perpetual American compound lookback and integral options with floating strikes
- The integral option in a model with jumps
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