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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

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

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

(Reflected) backward stochastic differential equations and contingent claims

Kohlmann, Michael - 1999

Persistent link: https://www.econbiz.de/10001387121

Optimal stopping in Hilbert spaces and pricing of American options

Gatarek, Dariusz; Świȩch, Andrzej - In: Mathematical methods of operations research 50 (1999) 1, pp. 135-147

Persistent link: https://www.econbiz.de/10001418491

A barrier version of the Russian option

Shepp, Larry A.; Širjaev, Alʹbert N.; Sulem, Agnès - In: Advances in finance and stochastics : essays in honour …, (pp. 271-284). 2002

Persistent link: https://www.econbiz.de/10001672243

Randomized stopping times and American option pricing with transaction costs

Chalasani, Prasad; Jha, Somesh - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 33-77

Persistent link: https://www.econbiz.de/10001650918

Game options

Kifer, Yuri - In: Finance and stochastics 4 (2000) 4, pp. 443-463

Persistent link: https://www.econbiz.de/10001539201

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

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10003905569