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GAME CALL OPTIONS REVISITED
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GAME CALL OPTIONS REVISITED (2012)GAME CALL OPTIONS REVISITEDOptimal Stopping Games for Markov Processes (2008)Optimal Stopping Games for Ma…On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems (2007)On Threshold Strategies and t…CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS (2007)CALLABLE PUTS AS COMPOSITE EX…On the value of optimal stopping games (2006)On the value of optimal stopp…A Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …The Wiener Sequential Testing Problem with Finite Horizon (2004)The Wiener Sequential Testing…Some calculations for Israeli options (2004)Some calculations for Israeli…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…Game options (2000)Game optionsMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Handbook of Brownian Motion — Facts and Formulae (1996)Pricing derivatives of American and game type in incomplete markets (2004)The Value of Zero-Sum Stopping Games in Continuous Time (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)A mixed singular/switching control problem for a dividend policy with reversible technology investment (2008)Stochastic volatility asymptotics of stock loans: Valuation and optimal stopping (2012)REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING (2014)Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski (1984)Optimal stopping and free-boundary problems (2006)Optimal Stopping Games and Nash Equilibrium (2009)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems (2018)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Continuous Martingales and Brownian Motion (1999)ON THE AMERICAN OPTION PROBLEM (2005)On the Constructions of the Skew Brownian Motion (2005)The trap of complacency in predicting the maximum (2007)Selling a stock at the ultimate maximum (2009)Brownian Models of Performance and Control (2013)OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (2015)Investment under uncertainty with financial constraints (2019)The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process (2009)Dynkin's Games and Israeli Options (2013)Nash equilibria of threshold type for two-player nonzero-sum games of stopping (2018)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 2003On the optimal stopping problem for one-dimensional diffusions235 cited
  • 2000Game options204 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2004Some calculations for Israeli options99 cited
  • 2008Optimal Stopping Games for Markov Processes85 cited
  • 2006On the value of optimal stopping games59 cited
  • 2007On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems57 cited
  • 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS57 cited
  • 2004The Wiener Sequential Testing Problem with Finite Horizon38 cited

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