Stopping Levels for a Spectrally Negative Markov Additive Process
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s40304-023-00385-z.pdf
Reference18 articles.
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3. Caglar, M., Kyprianou, A.E., Vardar-Acar, C.: An optimal stopping problem for spectrally negative Markov additive processes. Stochastic Processes and their Applications, to appear, (2021)
4. Duffie, J.D., Harrison, J.M.: Arbitrage pricing of Russian options and perpetual lookback options. Ann. Appl. Probab. 3(3), 641–651 (1993)
5. Graversen, S.E., Peskir, G.: On the Russian option: the expected waiting time. Theory Probab. Appl. 42(3), 416–425 (1998)
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