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Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions : (with computational finance in view)
Lyasoff, Andrew - In: Mathematical control theory and finance, (pp. 265-291). 2008
Persistent link: https://www.econbiz.de/10003755614
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A note on pricing, duality and symmetry for two-dimensional lévy markets
Fajadro, José; Mordecki, Ernesto - In: From stochastic calculus to mathematical finance : the …, (pp. 249-256). 2006
Persistent link: https://www.econbiz.de/10003287162
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The critical price for the American put in an exponential Lévy model
Lamberton, Damien; Mikou, Mohammed - In: Finance and stochastics 12 (2008) 4, pp. 561-581
Persistent link: https://www.econbiz.de/10003899272
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The perpetual American put option for jump-diffusions
Aase, Knut K. - In: Energy, natural resources and environmental economics, (pp. 493-507). 2010
Persistent link: https://www.econbiz.de/10008652291
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American options with multiple priors in continuous time
Vorbrink, Jörg - 2011
uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping …
Persistent link: https://www.econbiz.de/10008990920
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10011544985
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10000993233
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
Persistent link: https://www.econbiz.de/10001387121
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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