SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Finite expiry Russian options · Study

ArticleShelves

ArticleFinite expiry Russian options

J. J. Duistermaat2004

OA

Articlebronze2004

Finite expiry Russian options

J. J. Duistermaat · Andreas E. Kyprianou · Kees van Schaik

23 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Partial Differential Equations Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1998Methods of Mathematical Finance 1976Stochastic Differential Equations and Applications 1998Randomization and the American Put 1992The Pricing of the American Option 2003Russian and American put options under exponential phase-type Lévy models 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 1993The Russian Option: Reduced Regret 2007A Change-of-Variable Formula with Local Time on Surfaces

Cited by

2006Discounted optimal stopping for maxima in diffusion models with finite horizon

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONSarticle · 8 shared references 2006Discounted optimal stopping for maxima in diffusion models with finite horizonarticle · 8 shared references 2003Perpetual options and Canadization through fluctuation theoryarticle · 6 shared references 2007The trap of complacency in predicting the maximumarticle · 6 shared references 2007Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processesarticle · 6 shared references 2006The Wiener disorder problem with finite horizonarticle · 5 shared references

Details

Year2004

Typearticle

Published2004-12-16

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2004.11.005

openalex_workW2153197956

Links

Imported from OpenAlex (CC0) — nothing here is generated.