scientific article; zbMATH DE number 796440

MaRDI QIDQ4845598zbMATH OpenFDO

Authors Albert N. Shiryaev, Dmitry Kramkov, Yuri Kabanov, Alexander Melnikov

Publication date 25 October 1995

zbMATH Keywords

Black-Scholes formulahedge strategiesoptimal stoppingoptions of European as well as American typesrisk and riskless stocks and bonds

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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(27)

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• Extended Itô integrals and the reflection problem
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• Calculating the American options in the default model
• Infinite-dimensional Black-Scholes equation with hereditary structure
• Finite expiry Russian options
• An optimal stopping problem in a diffusion-type model with delay
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• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• Semi-parametric estimation of American option prices
• An approximation scheme for Black-Scholes equations with delays
• On the problem of optimal stopping for the composite Russian option
• Stock loan with automatic termination clause, cap and margin
• Optimal stopping problem in a model with compensated refusal of reward
• Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
• On the duality principle in option pricing: semimartingale setting
• Spectral approximation of infinite-dimensional Black-Scholes equations with memory
• Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences

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