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Pricing derivatives on two-dimensional Lévy processes
Barbachan, José Santiago Fajardo; Mordecki, Ernesto - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 185-197
Persistent link: https://www.econbiz.de/10003312719
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Optimal exercise of an executive stock option by an insider
Monoyios, Michael; Ng, Andrew - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10008908387
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Optimal capital structure with scale effects under spectrally negative Lévy models
Surya, Budhi Arta; Yamazaki, Kazutoshi - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10010363903
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Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
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An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10011403875
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Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
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First-to-default and second-to-default options in models with various information flows
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10012652666
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Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
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Defaultable claims in switching models with partial information
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
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On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii; Melʹnikov, Aleksandr V.; Mišura, … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011734050