SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal Stopping for Processes with Independent Increments, and Applications
10 references·0 citing·37 second hop
Optimal Stopping for Processes with Independent Increments, and Applications (2009)Optimal Stopping for Processes with Indep…PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME* (2007)PRACTICAL GUIDE TO REAL OPTIO…On a solution of the optimal stopping problem for processes with independent increments (2007)On a solution of the optimal …An approach for solving perpetual optimal stopping problems driven by Lévy processes (2007)An approach for solving perpe…General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion (2006)General Option Exercise Rules…On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time (2005)On the Novikov-Shiryaev Optim…Russian and American put options under exponential phase-type Lévy models (2003)Russian and American put opti…Optimal stopping and perpetual options for Lévy processes (2002)Optimal stopping and perpetua…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Optimal Stopping for Partial Sums (1972)Optimal Stopping for Partial …Stochastic Processes in Queueing Theory (1976)Optimal stopping, Appell polynomials, and Wiener–Hopf factorization (2011)Optimal stopping of strong Markov processes (2012)On the solution of general impulse control problems using superharmonic functions (2013)Some Problems in the Theory of Queues (1951)The single server queue in heavy traffic (1961)Multiple channel queues in heavy traffic. I (1970)Cramér's estimate for Lévy processes (1994)On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004)On the drawdown of completely asymmetric Lévy processes (2012)On optimal stopping and free boundary problems (1976)Optimal stopping and free-boundary problems (2006)Théorie de la spéculation (1900)The Random Character of Stock Market Prices (1968)American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)American options: the EPV pricing model (2005)Optimal stopping of Hunt and Lévy processes (2007)Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Scholes Theory (2002)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)A Jump-Diffusion Model for Option Pricing (2002)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Barrier options and touch-and-out options under regular Lévy processes of exponential type (2002)Theory of rational option pricing (2005)Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010)Irreversibility, Uncertainty, and Cyclical Investment (1980)Dynamic Asset Pricing Theory. (1993)Investment Under Uncertainty. (1994)American Options in Lévy Models with Stochastic Interest Rates (2007)Exit problems in regime-switching models (2007)Using real options to value capacity additions and investment expenditures in renewable energies in India (2020)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)
this work references cited by second hop

References

  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 1975Fluctuation theory in continuous time179 cited
  • 1975Fluctuation theory in continuous time146 cited
  • 1972Optimal Stopping for Partial Sums75 cited
  • 2007On a solution of the optimal stopping problem for processes with independent increments45 cited
  • 2005On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time43 cited
  • 2007An approach for solving perpetual optimal stopping problems driven by Lévy processes37 cited
  • 2007PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*35 cited
  • 2006General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion31 cited

Cited by

No citing works inside the corpus for this window.

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