Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
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Brownian motionchange-of-variable formula with local time on surfacesfirst passage timefree-boundary probleminstantaneous stopping and smooth fitlast hitting timenormal reflectionoptimal stopping problemperpetual American standard and lookback optionsrunning maximum and minimum processesstochastic boundary
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- Insider Trading in a Continuous Time Market Model
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- Optimal stopping problems for the maximum process with upper and lower caps
- Optimal stopping problems in diffusion-type models with running maxima and drawdowns
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Quickest detection of a hidden target and extremal surfaces
- Random times and enlargements of filtrations in a Brownian setting.
- Russian and American put options under exponential phase-type Lévy models.
- Short selling with margin risk and recall risk
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Stochastic differential equations. An introduction with applications.
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- The Shannon information of filtrations and the additional logarithmic utility of insiders
- The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process
- Three-dimensional Brownian motion and the golden ratio rule
- Valuation of American options in the presence of event risk
- Watermark options
Cited in
(7)- Valuation of American options in the presence of event risk
- Optimal stopping problems for maxima and minima in models with asymmetric information
- The valuation of permanent American options in the presence of event risk
- Defaultable perpetual American put option in a last passage time model
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- Before and after default: information and optimal portfolio via anticipating calculus
- Perpetual American compound lookback and integral options with floating strikes
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