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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

Bayesian switching multiple disorder problems

Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124

Persistent link: https://www.econbiz.de/10011520840

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

On some functionals of the first passage times in models with switching stochastic volatility

Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011845962

Pricing of contingent claims in a two-dimensional model with random dividends

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1091-1104

Persistent link: https://www.econbiz.de/10003946574

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

Pricing and filtering in a two-dimensional dividend switching model

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017

Persistent link: https://www.econbiz.de/10008906248

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

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

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks : open access journal 7 (2019) 3/87, pp. 1-15

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...

Persistent link: https://www.econbiz.de/10012126486