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ArticleSome calculations for Israeli options

Andreas E. Kyprianou2004

Article2004

Some calculations for Israeli options

Andreas E. Kyprianou

99 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Capital Investment and Risk Analysis Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 2008Stochastic differential equations and applications 1996Handbook of Brownian Motion — Facts and Formulae 1998Randomization and the American Put 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 1993The Russian Option: Reduced Regret 1995A New Look at Pricing of the ”Russian Option“

Cited by

2008Optimal Stopping Games for Markov Processes 2005The Value of Zero-Sum Stopping Games in Continuous Time 2004Pricing derivatives of American and game type in incomplete markets 2009Optimal Stopping Games and Nash Equilibrium 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS 2005Properties of game options 2013Dynkin's Games and Israeli Options 2008The McKean stochastic game driven by a spectrally negative Lévy process

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2003Perpetual options and Canadization through fluctuation theoryarticle · 5 shared references 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONSarticle · 4 shared references 2001Pricing and Hedging Path-Dependent Options Under the CEV Processarticle · 3 shared references 2003On the optimal stopping problem for one-dimensional diffusionsarticle · 3 shared references 1998Optimal stopping of the maximum process: the maximality principlearticle · 3 shared references 2004Properties of American option pricesarticle · 3 shared references

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Year2004

Typearticle

Published2004-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations99

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-003-0104-5

openalex_workW1978457562

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