scientific article; zbMATH DE number 796441
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(42)- Callable Russian options and their optimal boundaries
- Risk vs. profit potential:
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Long-term optimal portfolios with floor
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- On optimal stopping of multidimensional diffusions
- Pricing American drawdown options under Markov models
- On a doubly reflected risk process with running maximum dependent reflecting barriers
- MFGs for partially reversible investment
- An optimal stopping problem for spectrally negative Markov additive processes
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Pricing of American lookback spread options
- Optimal stopping problems for running minima with positive discounting rates
- A drawdown reflected spectrally negative Lévy process
- Bottleneck options
- On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
- A capped optimal stopping problem for the maximum process
- Valuing finite-lived Russian options
- Finite expiry Russian options
- An optimal stopping problem in a diffusion-type model with delay
- Russian and American put options under exponential phase-type Lévy models.
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Spectral estimation for diffusions with random sampling times
- scientific article; zbMATH DE number 4218072 (Why is no real title available?)
- Stopping at the maximum of geometric Brownian motion when signals are received
- Optimal stopping problems for the maximum process with upper and lower caps
- scientific article; zbMATH DE number 1897424 (Why is no real title available?)
- Russian options with a finite time horizon
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- An efficient numerical method for pricing a Russian option with a finite time horizon
- scientific article; zbMATH DE number 7278388 (Why is no real title available?)
- A system of variational inequalities arising from finite expiry Russian option with two regimes
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
- Reflected stochastic differential equations driven by standard and fractional Brownian motion
- Perpetual American compound fixed-strike lookback options on maxima drawdowns
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- On the duality principle in option pricing: semimartingale setting
- The integral option in a model with jumps
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