Kees van Schaik

Available identifiers

Publication	Date of Publication	Type
Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process	2022-01-18	Paper
Applying the Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes to Path Functionals	2015-05-29	Paper
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes	2015-05-27	Paper
Predicting the time at which a Lévy process attains its ultimate supremum	2015-02-17	Paper
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases	2014-04-14	Paper
On the density of exponential functionals of Lévy processes	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	2012-01-10	Paper
Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval	2011-04-05	Paper
Perpetual convertible bonds with credit risk	2008-12-22	Paper
Pricing Israeli options: a pathwise approach	2007-03-30	Paper
Finite expiry Russian options	2005-08-05	Paper

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