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Optimal stopping and free boundary problems
2 references·5 citing·27 second hop
Optimal stopping and free boundary problems (1974)Optimal stopping and free boundary proble…Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…Optimal Stopping in a Markov Process (1968)Optimal Stopping in a Markov …Finite-Element Methods (2012)Finite-Element MethodsAmerican option prices in a Markov chain market model (2011)American option prices in a M…Various passport options and their valuation (1999)Various passport options and …Optimal stopping rule for a project with uncertain completion time and partial salvageability (1997)Optimal stopping rule for a p…An optimal stopping problem with linear reward (1974)An optimal stopping problem w…The Variation of Certain Speculative Prices (1963)Option pricing (1976)A contingent-claims valuation of convertible securities (1977)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)The variation of certain speculative prices (1997)American Economic Review (2019)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)Martingales and stochastic integrals in the theory of continuous trading (1981)Passport options with stochastic volatility (2001)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)Option pricing: A simplified approach (1979)The Econometrics of Financial Markets (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions (2012)FIRST EXIT TIMES FROM A SQUARE ROOT BOUNDARY (1967)Optimal stopping problems for Brownian motion (1970)Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region (1992)An explicit series approximation to the optimal exercise boundary of American put options (2009)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A search strategy for assessing a business opportunity (2002)Timing and quality decisions for entrepreneurial product development (2002)Optimal Operation of an M/G/1 Priority Queue with Removable Server (1973)
this work references cited by second hop

References

  • 2015Rational Theory of Warrant Pricing534 cited
  • 1968Optimal Stopping in a Markov Process74 cited

Cited by

  • 1974An optimal stopping problem with linear reward48 cited
  • 2012Finite-Element Methods46 cited
  • 1997Optimal stopping rule for a project with uncertain completion time and partial salvageability33 cited
  • 2011American option prices in a Markov chain market model24 cited
  • 1999Various passport options and their valuation24 cited

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