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Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
7 references·0 citing·24 second hop
Optimal stopping, Appell polynomials, and Wiener–Hopf factorization (2011)Optimal stopping, Appell polynomials, and…Optimal stopping of Hunt and Lévy processes (2007)Optimal stopping of Hunt and …On a solution of the optimal stopping problem for processes with independent increments (2007)On a solution of the optimal …An approach for solving perpetual optimal stopping problems driven by Lévy processes (2007)An approach for solving perpe…On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time (2005)On the Novikov-Shiryaev Optim…Optimal stopping and perpetual options for Lévy processes (2002)Optimal stopping and perpetua…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…Optimal Stopping for Partial Sums (1972)Optimal Stopping for Partial …Stochastic Processes in Queueing Theory (1976)Optimal Stopping for Processes with Independent Increments, and Applications (2009)Optimal stopping of strong Markov processes (2012)On the solution of general impulse control problems using superharmonic functions (2013)On optimal stopping and free boundary problems (1976)Russian and American put options under exponential phase-type Lévy models (2003)Optimal stopping and free-boundary problems (2006)Non-Gaussian Merton-Black-Scholes Theory (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach (2013)Théorie de la spéculation (1900)The Random Character of Stock Market Prices (1968)American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)American options: the EPV pricing model (2005)Non-Gaussian Merton-Black-Scholes Theory (2002)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Barrier options and touch-and-out options under regular Lévy processes of exponential type (2002)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Theory of rational option pricing (2005)Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)A jump to default extended CEV model: an application of Bessel processes (2006)
this work references cited by second hop

References

  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 1972Optimal Stopping for Partial Sums75 cited
  • 2007Optimal stopping of Hunt and Lévy processes47 cited
  • 2007On a solution of the optimal stopping problem for processes with independent increments45 cited
  • 2005On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time43 cited
  • 2007An approach for solving perpetual optimal stopping problems driven by Lévy processes37 cited

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