Optimal stopping problems for maxima and minima in models with asymmetric information
Author:
Affiliation:
1. Department of Mathematics, London School of Economics, London, UK
2. School of Mathematics and Statistics, University of New South Wales, Sydney, NSW, Australia
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2021.1979976
Reference45 articles.
1. Russian and American put options under exponential phase-type Lévy models
2. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
3. The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
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