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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
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Optimal stopping for a diffusion with jumps
Mordecki, Ernesto - In: Finance and stochastics 3 (1999) 2, pp. 227-236
Persistent link: https://www.econbiz.de/10001367337
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A closed-form solution to the problem of super-replication under transaction costs
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10001367451
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Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
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Extension of the corrected barrier approximation by Broadie, Glassermann and Kou
Hörfelt, Per - In: Finance and stochastics 7 (2003) 2, pp. 231-243
Persistent link: https://www.econbiz.de/10001762752
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Optimal stopping and perpetual options for Lévy processes
Mordecki, Ernesto - In: Finance and stochastics 6 (2002) 4, pp. 473-493
Persistent link: https://www.econbiz.de/10001702783
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Valuation of American options in the presence of event risk
Szimayer, Alex - In: Finance and stochastics 9 (2005) 1, pp. 89-107
Persistent link: https://www.econbiz.de/10002497075
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Local martingales, bubbles and option prices
Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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Some calculations for Israeli options
Kyprianou, Andreas E. - In: Finance and stochastics 8 (2004) 1, pp. 73-86
Persistent link: https://www.econbiz.de/10001910713
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Robust pricing and hedging of double no-touch options
Cox, Alexander M. G.; Obłój, Jan - In: Finance and stochastics 15 (2011) 3, pp. 573-605
Persistent link: https://www.econbiz.de/10009303104