SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Dynkin game with asymmetric information
16 references·0 citing·37 second hop
A Dynkin game with asymmetric information (2012)A Dynkin game with asymmetric informationOptimal Stopping Games and Nash Equilibrium (2009)Optimal Stopping Games and Na…Stochastic Differential Games with Asymmetric Information (2008)Stochastic Differential Games…Optimal Stopping Games for Markov Processes (2008)Optimal Stopping Games for Ma…Arbitrage pricing of defaultable game options with applications to convertible bonds (2008)Arbitrage pricing of defaulta…On the value of optimal stopping games (2006)On the value of optimal stopp…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Properties of game options (2005)Properties of game optionsConvertible Bonds: Financial Derivatives of Game Type (2005)Convertible Bonds: Financial …Some calculations for Israeli options (2004)Some calculations for Israeli…Pricing derivatives of American and game type in incomplete markets (2004)Pricing derivatives of Americ…Stochastic Differential Equations (2003)Stochastic Differential Equat…Perpetual options and Canadization through fluctuation theory (2003)Perpetual options and Canadiz…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…Game options (2000)Game optionsRandomization and the American Put (1998)Randomization and the America…Optimal Stopping of One-Dimensional Diffusions (1985)Optimal Stopping of One-Dimen…Handbook of Brownian Motion — Facts and Formulae (1996)The Value of Zero-Sum Stopping Games in Continuous Time (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Methods of Mathematical Finance (1998)Continuous Martingales and Brownian Motion (1999)Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Fast and accurate pricing of barrier options under Lévy processes (2009)Phase-type fitting of scale functions for spectrally negative Lévy processes (2014)Hyperbolic Distributions in Finance (1995)Processes of normal inverse Gaussian type (1997)Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2009)Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski (1984)Optimal stopping and free-boundary problems (2006)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems (2018)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Russian and American put options under exponential phase-type Lévy models (2003)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Barrier Option of American Type (2000)On the properties of $r$-excessive mappings for a class of diffusions (2003)A Class of Solvable Impulse Control Problems (2004)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)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

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1998Randomization and the American Put404 cited
  • 2000Game options204 cited
  • 1985Optimal Stopping of One-Dimensional Diffusions105 cited
  • 2004Some calculations for Israeli options99 cited
  • 2003Perpetual options and Canadization through fluctuation theory91 cited
  • 2008Optimal Stopping Games for Markov Processes85 cited
  • 2004Pricing derivatives of American and game type in incomplete markets77 cited
  • 2008Stochastic Differential Games with Asymmetric Information73 cited
  • 2008Arbitrage pricing of defaultable game options with applications to convertible bonds61 cited
  • 2009Optimal Stopping Games and Nash Equilibrium59 cited
  • 2006On the value of optimal stopping games59 cited
  • 2005Properties of game options50 cited
  • 2005Convertible Bonds: Financial Derivatives of Game Type37 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

No citing works inside the corpus for this window.