Similar Search Results

Narrow search

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

Approximating the randomized hitting time distribution of a non-stationary gamma process

Frenk, Johannes G. (contributor); Nicolai, R. P. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003484129

Approximating the randomized hitting time distribution of a non-stationary gamma process

Frenk, Johannes G. (contributor); Nicolai, R. P. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003484899

The stochastic analysis of competitive unemployment insurance premiums

Blake, David; Beenstock, Michael - 1984

Persistent link: https://www.econbiz.de/10003486969

Optimal stopping problem and investment models

Arkin, Vadimin I.; Slastnikov, Aleksandr D. - In: Dynamic stochastic optimization : [this volume includes …, (pp. 83-98). 2004

Persistent link: https://www.econbiz.de/10003487949

Discounted optimal stopping for maxima of some jump-diffusion processes

Gapeev, Pavel V. (contributor) - 2006

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...