scientific article; zbMATH DE number 4218072

zbMATH Open0829.60055MaRDI QIDQ3364259FDOQ3364259

Authors: Larry Shepp, Albert N. Shiryaev 

Publication date: 1994

Title of this publication is not available (Why is that?)

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zbMATH Keywords

option pricingAmerican optionoptimal stoppingfinancial modelsreflecting diffusion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (17)

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• Optimal inventory control with path-dependent cost criteria
• The Russian option: finite horizon
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• Comparison of theoretical formulas for price and hedging strategy of the Russian option with real data
• \(\pi \) options
• The Russian option: Reduced regret
• Controlling the running maximum of a diffusion process and an application to queueing systems
• A general method for finding the optimal threshold in discrete time
• Title not available (Why is that?)
• Valuing finite-lived Russian options
• On Russian options
• Watermark options
• The British Russian Option
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Title not available (Why is that?)

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