| Publication | Date of Publication | Type |
|---|
On the binomial approximation of the American put
Applied Mathematics and Optimization | 2020-09-09 | Paper |
Variational Formulation of American Option Prices in the Heston Model
SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
Properties of the American price function in the Heston-type models
| 2019-04-02 | Paper |
The critical price of the American put near maturity in the jump diffusion model
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
European options sensitivity with respect to the correlation for multidimensional Heston models
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
On the optimal stopping of a one-dimensional diffusion
Electronic Journal of Probability | 2014-01-17 | Paper |
Exercise boundary of the American put near maturity in an exponential Lévy model
Finance and Stochastics | 2013-04-02 | Paper |
The smooth-fit property in an exponential Lévy model
Journal of Applied Probability | 2012-04-20 | Paper |
Continuity Correction for Barrier Options in Jump-Diffusion Models
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
Advances in Applied Probability | 2012-01-17 | Paper |
A penalized bandit algorithm
Electronic Journal of Probability | 2009-11-20 | Paper |
Optimal stopping with irregular reward functions
Stochastic Processes and their Applications | 2009-10-13 | Paper |
The critical price for the American put in an exponential Lévy model
Finance and Stochastics | 2009-08-08 | Paper |
Options and partial differential equations
| 2008-09-29 | Paper |
How Fast Is the Bandit?
Stochastic Analysis and Applications | 2008-06-12 | Paper |
scientific article; zbMATH DE number 5181830 (Why is no real title available?)
| 2007-08-23 | Paper |
A duality approach for the weak approximation of stochastic differential equations
The Annals of Applied Probability | 2007-02-05 | Paper |
When can the two-armed bandit algorithm be trusted?
The Annals of Applied Probability | 2004-09-15 | Paper |
RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
Stochastics and Dynamics | 2004-06-09 | Paper |
An analysis of a least squares regression method for American option pricing
Finance and Stochastics | 2004-03-16 | Paper |
Critical price near maturity for an American option on a dividend-paying stock.
The Annals of Applied Probability | 2003-11-17 | Paper |
Recursive computation of the invariant distribution of a diffusion
Bernoulli | 2003-03-13 | Paper |
Brownian optimal stopping and random walks
Applied Mathematics and Optimization | 2002-06-27 | Paper |
Optimal stopping and embedding
Journal of Applied Probability | 2002-03-14 | Paper |
Local risk-minimization under transaction costs
Mathematics of Operations Research | 2001-11-26 | Paper |
Error estimates for the binomial approximation of American put options
The Annals of Applied Probability | 2000-07-05 | Paper |
scientific article; zbMATH DE number 1255542 (Why is no real title available?)
| 1999-02-28 | Paper |
Hedging Index Options With Few Assets1
Mathematical Finance | 1998-04-05 | Paper |
Convergence of the Critical Price In the Approximation of American Options
Mathematical Finance | 1998-01-21 | Paper |
scientific article; zbMATH DE number 845007 (Why is no real title available?)
| 1996-02-14 | Paper |
scientific article; zbMATH DE number 797366 (Why is no real title available?)
| 1996-01-15 | Paper |
scientific article; zbMATH DE number 52588 (Why is no real title available?)
| 1992-09-18 | Paper |
Quelques Remarques Sur La Regularite Lp Du Semi–Groupe De Stokes
Communications in Partial Differential Equations | 1992-06-28 | Paper |
scientific article; zbMATH DE number 3234 (Why is no real title available?)
| 1992-06-25 | Paper |
Residual risks and hedging strategies in Markovian markets
Stochastic Processes and their Applications | 1992-06-25 | Paper |
Variational inequalities and the pricing of American options
Acta Applicandae Mathematicae | 1990-01-01 | Paper |
Sur l'approximation des réduites. (On the approximation of residues)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1990-01-01 | Paper |
Equations d'évolution linéaires associées à des semi-groupes de contractions dans les espaces \(L^ p\). (Evolution equations associated to contraction semigroups in \(L^ p\) spaces)
Journal of Functional Analysis | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4055175 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 4094120 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 4044547 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3907172 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3903289 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3847970 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3923498 (Why is no real title available?)
| 1983-01-01 | Paper |
