scientific article; zbMATH DE number 5055428
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Publication:5488452
zbMATH Open1101.91040MaRDI QIDQ5488452FDOQ5488452
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Publication date: 19 September 2006
Full work available at URL: http://www.ams.org/tpms/2005-71-00/S0094-9000-06-00650-8/home.html
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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- Optimal stopping time for geometric random walks with power payoff function
- Structure of optimal stopping strategies for American type options
- Monte Carlo studies of American type call options with discrete time
- Skeleton approximations of optimal stopping strategies for American type options with continuous time
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- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
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- The structure of the stopping region in a Lévy model
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- Convergence of option rewards for multivariate price processes
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