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The trap of complacency in predicting the maximum
11 references·3 citing·29 second hop
The trap of complacency in predicting the maximum (2007)The trap of complacency in predicting the…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…The Russian option: Finite horizon (2005)The Russian option: Finite ho…ON THE AMERICAN OPTION PROBLEM (2005)ON THE AMERICAN OPTION PROBLEMA Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…The Pricing of the American Option (1992)The Pricing of the American O…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)A Note on the Continuity of F…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…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Theory of rational option pricing (2005)Continuous Martingales and Brownian Motion (1999)Un Cours sur les Intégrales Stochastiques (2002)On the Constructions of the Skew Brownian Motion (2005)Stochastic Integration and Differential Equations (2005)Selling a stock at the ultimate maximum (2009)Option Pricing With V. G. Martingale Components1 (1991)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Multigrid for American option pricing with stochastic volatility (1999)Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006)A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004)Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets (2008)The Wiener disorder problem with finite horizon (2006)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)
this work references cited by second hop

References

  • 1998Methods of Mathematical Finance1,939 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1992The Pricing of the American Option348 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2005ON THE AMERICAN OPTION PROBLEM207 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2005The Russian option: Finite horizon99 cited
  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited

Cited by

  • 2013Three-dimensional Brownian motion and the golden ratio rule38 cited
  • 2015A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions34 cited
  • 2012Optimal detection of a hidden target: The median rule26 cited

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