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Maturity randomization for stochastic control problems
10 references·5 citing·44 second hop
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  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1998Methods of Mathematical Finance1,939 cited
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  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1998Randomization and the American Put404 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 1999Super-replication in stochastic volatility models under portfolio constraints98 cited
  • 2003Perpetual options and Canadization through fluctuation theory91 cited

Cited by

  • 2015American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics26 cited
  • 2015AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING23 cited
  • 2012A Dynkin game with asymmetric information22 cited
  • 2011Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier20 cited
  • 2009Optimal stopping and American options

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20 cited