Kees van Schaik

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimal stopping of the stable process with state-dependent killing Bernoulli	2024-11-05	Paper
Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process Advances in Applied Probability	2022-01-18	Paper
Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals Journal of Applied Probability	2015-05-29	Paper
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes Stochastic Processes and their Applications	2015-05-27	Paper
Predicting the time at which a Lévy process attains its ultimate supremum Acta Applicandae Mathematicae	2015-02-17	Paper
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases Insurance Mathematics & Economics	2014-04-14	Paper
On the density of exponential functionals of Lévy processes Bernoulli	2014-02-04	Paper
Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots	2013-06-17	Paper
A Wiener-Hopf Monte Carlo simulation technique for Lévy processes The Annals of Applied Probability	2012-01-10	Paper
Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval Journal of Applied Probability	2011-04-05	Paper
Perpetual convertible bonds with credit risk Stochastics	2008-12-22	Paper
Pricing Israeli options: a pathwise approach Stochastics	2007-03-30	Paper
Finite expiry Russian options Stochastic Processes and their Applications	2005-08-05	Paper
Optimal stopping of the stable process with state-dependent killing (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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