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Discounted optimal stopping problems for the maximum process
9 references·4 citing·42 second hop
Discounted optimal stopping problems for the maximum process (2000)Discounted optimal stopping problems for …Non-Gaussian OU based models and some of their uses in financial economics (2000)Non-Gaussian OU based models …Swap Pricing with Two-Sided Default Risk in a Rating-Based Model (1999)Swap Pricing with Two-Sided D…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The relation between implied and realized volatility (1998)The relation between implied …Optimal stopping of the maximum process: the maximality principle (1998)Optimal stopping of the maxim…A New Look at Pricing of the ”Russian Option“ (1995)A New Look at Pricing of the …The Russian Option: Reduced Regret (1993)The Russian Option: Reduced R…Path Dependent Options: The Case of Lookback Options (1991)Path Dependent Options: The C…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Three-dimensional Brownian motion and the golden ratio rule (2013)Three-dimensional Brownian mo…π options (2010)π optionsDiscounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes (2007)Discounted Optimal Stopping f…Russian options with a finite time horizon (2004)Russian options with a finite…Brownian Motion and Stochastic Calculus (1998)The Russian option: Finite horizon (2005)Brownian Motion and Stochastic Calculus (2007)Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping (2008)Root’s barrier: Construction, optimality and applications to variance options (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Change of structure in financial time series, long range dependence and the GARCH model (1998)A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001)On measuring volatility and the GARCH forecasting performance (2002)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Théorie de la spéculation (1900)Risk vs. profit potential: A model for corporate strategy (1996)An explicit solution to an optimal stopping problem with regime switching (2001)DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE (2005)Brownian Motion in the Stock Market (1959)Optimal stopping and free-boundary problems (2006)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Some calculations for Israeli options (2004)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Connecting discrete and continuous path-dependent options (1999)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Theory of rational option pricing (2005)A Markov Model for the Term Structure of Credit Risk Spreads (1997)On cox processes and credit risky securities (1998)Pitfalls in Estimating Jump-Diffusion Models (1998)Modeling Term Structures of Defaultable Bonds (1999)The Comovement of US and UK Stock Markets (2004)Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1991Path Dependent Options: The Case of Lookback Options281 cited
  • 1993The Russian Option: Reduced Regret229 cited
  • 1995A New Look at Pricing of the ”Russian Option“122 cited
  • 2000Non-Gaussian OU based models and some of their uses in financial economics112 cited
  • 1998Optimal stopping of the maximum process: the maximality principle108 cited
  • 1999Swap Pricing with Two-Sided Default Risk in a Rating-Based Model81 cited

Cited by

  • 2013Three-dimensional Brownian motion and the golden ratio rule38 cited
  • 2010π options33 cited
  • 2007Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes29 cited
  • 2004Russian options with a finite time horizon24 cited

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