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ON THE AMERICAN OPTION PROBLEM
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Option pricing theory
9
Optionspreistheorie
9
Theorie
8
Theory
8
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7
Stochastischer Prozess
7
Search theory
5
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Option trading
4
Optionsgeschäft
4
optimal stopping
4
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3
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3
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3
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3
free-boundary problem
3
geometric Brownian motion
3
local time-space calculus
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Dynamic programming
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Dynamische Optimierung
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Mathematical programming
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Mean-variance analysis
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arbitrage-free price
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nonlinear integral equation
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smooth fit
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American Asian option
1
Analysis
1
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1
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Peskir, Goran
27
Samee, Farman
8
Glover, Kristoffer
6
Hulley, Hardy
2
De Angelis, Tiziano
1
Du Toit, Jacques
1
Glover, Kris
1
Pedersen, J. L.
1
Pedersen, Jesper Lund
1
Shorish, Jamsheed
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Toit, Jacques du
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Uys, N.
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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RePEc
9
OLC EcoSci
3
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The British put option
Peskir, Goran
;
Samee, Farman
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 537-563
Persistent link: https://www.econbiz.de/10009422534
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22
Predicting the time of the ultimate maximum for Brownian motion with drift
Du Toit, Jacques
;
Peskir, Goran
- In:
Mathematical control theory and finance
,
(pp. 95-112)
.
2008
Persistent link: https://www.econbiz.de/10003755583
Saved in:
23
The British Asian option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
2009
Persistent link: https://www.econbiz.de/10003857528
Saved in:
24
Optimal mean-variance selling strategies
Pedersen, J. L.
;
Peskir, Goran
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 203-220
Persistent link: https://www.econbiz.de/10011485912
Saved in:
25
Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
;
Peskir, Goran
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 137-160
Persistent link: https://www.econbiz.de/10011900522
Saved in:
26
Optimal prediction of resistance and support levels
De Angelis, Tiziano
;
Peskir, Goran
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 465-483
Persistent link: https://www.econbiz.de/10011704271
Saved in:
27
Quickest detection problems for Ornstein-Uhlenbeck processes
Glover, Kristoffer
;
Peskir, Goran
- In:
Mathematics of operations research
49
(
2024
)
2
,
pp. 1045-1064
Persistent link: https://www.econbiz.de/10014564929
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