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Optimal stopping under g-expectation with constraints
Wu, Helin - In: Operations research letters 41 (2013) 2, pp. 164-171
Persistent link: https://www.econbiz.de/10009727727
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Stochastic modeling and fair valuation of drawdown insurance
Zhang, Hongzhong; Leung, Tim; Hadjiliadis, Olympia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 840-850
Persistent link: https://www.econbiz.de/10010227813
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Multilevel dual approach for pricing American style derivates
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
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Optimal selling of an asset with jumps under incomplete information
Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610
Persistent link: https://www.econbiz.de/10010235555
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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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Irreversible investment under Lévy uncertainty : an equation for the optimal boundary
Ferrari, Giorgio; Salminen, Paavo - 2014
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently...
Persistent link: https://www.econbiz.de/10010438262
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Bottleneck options
Ott, Curdin - In: Finance and stochastics 18 (2014) 4, pp. 845-872
Persistent link: https://www.econbiz.de/10010416190
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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo; Sawaki, Katsushige - In: Journal of mathematical finance 4 (2014) 1, pp. 47-54
Persistent link: https://www.econbiz.de/10010422891