scientific article; zbMATH DE number 796441
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Publication:4845599
zbMATH Open0834.60072MaRDI QIDQ4845599FDOQ4845599
Authors: Larry Shepp, Albert N. Shiryaev 
Publication date: 15 January 1996
Title of this publication is not available (Why is that?)
Cited In (40)
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
- On a doubly reflected risk process with running maximum dependent reflecting barriers
- Finite expiry Russian options
- Stopping at the maximum of geometric Brownian motion when signals are received
- Title not available (Why is that?)
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- A drawdown reflected spectrally negative Lévy process
- Optimal stopping problems for the maximum process with upper and lower caps
- Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Bottleneck options
- Reflected stochastic differential equations driven by standard and fractional Brownian motion
- Title not available (Why is that?)
- Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
- Optimal stopping problems for running minima with positive discounting rates
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Pricing of American lookback spread options
- The integral option in a model with jumps
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Russian and American put options under exponential phase-type Lévy models.
- Title not available (Why is that?)
- Pricing American drawdown options under Markov models
- A system of variational inequalities arising from finite expiry Russian option with two regimes
- Risk vs. profit potential:
- Spectral estimation for diffusions with random sampling times
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- An optimal stopping problem for spectrally negative Markov additive processes
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Russian options with a finite time horizon
- On the duality principle in option pricing: semimartingale setting
- A capped optimal stopping problem for the maximum process
- Callable Russian options and their optimal boundaries
- Valuing finite-lived Russian options
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Long-term optimal portfolios with floor
- An efficient numerical method for pricing a Russian option with a finite time horizon
- On optimal stopping of multidimensional diffusions
- MFGs for partially reversible investment
- An optimal stopping problem in a diffusion-type model with delay
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