Showing 1 - 10 of 58
SFB 649 Discussion Paper 2006-068 Integral Options in Models with Jumps Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia This research...
Persistent link: https://www.econbiz.de/10004001500
SFB 649 Discussion Paper 2006-058 Perpetual Barrier Options in Jump-Diffusion Models Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia ...
Persistent link: https://www.econbiz.de/10004875337
SFB 649 Discussion Paper 2006-057 Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of...
Persistent link: https://www.econbiz.de/10004875341
SFB 649 Discussion Paper 2006-059 Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control...
Persistent link: https://www.econbiz.de/10004875342
SFB 649 Discussion Paper 2006-060 On Maximal Inequalities for some Jump Processes Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia ...
Persistent link: https://www.econbiz.de/10004875372
Persistent link: https://www.econbiz.de/10004875382
The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of 'disorder' when the distribution of an observed process changes its probability characteristics. We present a formulation and solution of the multiple disorder...
Persistent link: https://www.econbiz.de/10003402207
We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary...
Persistent link: https://www.econbiz.de/10003375782
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10003375783
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...
Persistent link: https://www.econbiz.de/10003375784