scientific article; zbMATH DE number 1897422
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Publication:4802417
zbMATH Open1049.91080MaRDI QIDQ4802417FDOQ4802417
Authors: Ernesto Mordecki
Publication date: 27 April 2003
Title of this publication is not available (Why is that?)
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Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cited In (12)
- Two-sided optimal stopping for Lévy processes
- Optimal stopping for Lévy processes with one-sided solutions
- On singular stochastic control and optimal stopping of spectrally negative jump diffusions
- Perpetual American Options Under Lévy Processes
- Optimal stopping and perpetual options for Lévy processes
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
- Early exercise boundary and option prices in Lévy driven models
- American options: the EPV pricing model
- Pricing Perpetual Options for Jump Processes
- Optimal hitting time and perpetual option in a non-Lévy model: application to real options
- Optimal payout policy in presence of downside risk
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