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Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum
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Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum (2014)Predicting the Time at Which a Lévy Proce…Three-dimensional Brownian motion and the golden ratio rule (2013)Three-dimensional Brownian mo…Optimal detection of a hidden target: The median rule (2012)Optimal detection of a hidden…Meromorphic Lévy processes and their fluctuation identities (2012)Meromorphic Lévy processes an…Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumps (2011)Predicting the Ultimate Supre…Predicting the ultimate supremum of a stable Lévy process with no negative jumps (2011)Predicting the ultimate supre…Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (2011)Old and New Examples of Scale…Selling a stock at the ultimate maximum (2009)Selling a stock at the ultima…Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift (2008)Predicting the Time of the Ul…The trap of complacency in predicting the maximum (2007)The trap of complacency in pr…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (2006)A MULTINOMIAL APPROXIMATION F…Wavelet Galerkin pricing of American options on Lévy driven assets (2005)Wavelet Galerkin pricing of A…Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Some remarks on first passage…On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems (2005)On a Property of the Moment a…Stochastic Integration with Jumps (2002)Stochastic Integration with J…Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Financial Modelling with Jump Processes (2003)Lévy processes in finance pricing financial derivatives (2003)Lévy Processes in Finance (2003)Refracted Lévy processes (2010)A Wiener–Hopf Monte Carlo simulation technique for Lévy processes (2011)Occupation times of spectrally negative Lévy processes with applications (2011)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Monte Carlo Methods in Financial Engineering (2003)Numerical methods for Lévy processes (2009)A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes (2011)Finite-Element Methods (2012)Ruin Probabilities (2000)Integro-differential equations for option prices in exponential Lévy models (2005)Exit problems for jump processes with applications to dividend problems (2012)Stochastic Processes in Queueing Theory (1976)A Jump-Diffusion Model for Option Pricing (2002)Stochastic Volatility for Lévy Processes (2003)Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Suprema of Lévy processes (2013)METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (2014)Methods of Mathematical Finance (1998)Continuous Martingales and Brownian Motion (1999)Essentials of Stochastic Finance (1999)Optimal prediction of the ultimate maximum of Brownian motion (2003)The Analytic Valuation of American Options (1990)A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Efficient solution of a partial integro-differential equation in finance (2007)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Forecasting with Option-Implied Information (2013)A Change-of-Variable Formula with Local Time on Surfaces (2007)On the drawdown of completely asymmetric Lévy processes (2012)Optimal mean–variance selling strategies (2015)How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model (2023)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Ornstein–Uhlenbeck Processes and Extensions (2009)Market viability via absence of arbitrage of the first kind (2012)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
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References

  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
  • 2002Stochastic Integration with Jumps200 cited
  • 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes124 cited
  • 2005Wavelet Galerkin pricing of American options on Lévy driven assets109 cited
  • 2009Selling a stock at the ultimate maximum90 cited
  • 2012Meromorphic Lévy processes and their fluctuation identities88 cited
  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited
  • 2007The trap of complacency in predicting the maximum69 cited
  • 2006A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS57 cited
  • 2013Three-dimensional Brownian motion and the golden ratio rule38 cited
  • 2005On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems31 cited
  • 2012Optimal detection of a hidden target: The median rule26 cited
  • 2008Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift26 cited
  • 2011Predicting the ultimate supremum of a stable Lévy process with no negative jumps

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24 cited
  • 2011Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumps20 cited
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