173 citations to 10.1214/aoap/1177005355 (Crossref Cited-By Service)
  1. Aleksandar Mijatović, Martijn R. Pistorius, “On the drawdown of completely asymmetric Lévy processes”, Stochastic Processes and their Applications, 122, no. 11, 2012, 3812  crossref
  2. Ananda Weerasinghe, Chao Zhu, “Optimal inventory control with path-dependent cost criteria”, Stochastic Processes and their Applications, 126, no. 6, 2016, 1585  crossref
  3. Wenyuan Wang, Ran Xu, “General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes”, JIMO, 18, no. 2, 2022, 795  crossref
  4. Jesper Lund Pedersen, “Discounted optimal stopping problems for the maximum process”, Journal of Applied Probability, 37, no. 4, 2000, 972  crossref
  5. Hans U. Gerber, Hlias S. W. Shiu, “MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS”, Mathematical Finance, 6, no. 3, 1996, 303  crossref
  6. Risk Management, Speculation, and Derivative Securities, 2002, 549  crossref
  7. Hans U. Gerber, Elias S.W. Shiu, “Pricing Perpetual Fund Protection with Withdrawal Option”, North American Actuarial Journal, 7, no. 2, 2003, 60  crossref
  8. Pavel V. Gapeev, “Solving the dual Russian option problem by using change‐of‐measure arguments”, High Frequency, 2, no. 2, 2019, 76  crossref
  9. Fannu Hu, Charles Knessl, “Asymptotics of American Floating Strike Lookback Put Option Pricing”, SSRN Journal, 2009  crossref
  10. Hans U. Gerber, Elias S.W. Shiu, “From perpetual strangles to Russian options”, Insurance: Mathematics and Economics, 15, no. 2-3, 1994, 121  crossref
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