173 citations to 10.1214/aoap/1177005355 (Crossref Cited-By Service)
  1. Pavel V. Gapeev, Hessah Al Motairi, “Perpetual American Defaultable Options in Models with Random Dividends and Partial Information”, Risks, 6, no. 4, 2018, 127  crossref
  2. Gapeev, Rodosthenous, Chinthalapati, “On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes”, Risks, 7, no. 3, 2019, 87  crossref
  3. Masahiko Egami, Tadao Oryu, “A direct solution method for pricing options involving the maximum process”, Finance Stoch, 21, no. 4, 2017, 967  crossref
  4. Zhengqing Zhou, Guanyang Wang, Jose H. Blanchet, Peter W. Glynn, “Unbiased Optimal Stopping via the MUSE”, Stochastic Processes and their Applications, 166, 2023, 104088  crossref
  5. Erik Ekström, “Russian options with a finite time horizon”, Journal of Applied Probability, 41, no. 2, 2004, 313  crossref
  6. R. V. Ivanov, “On the problem of optimal stopping for the composite Russian option”, Autom Remote Control, 71, no. 8, 2010, 1602  crossref
  7. Tiziano De Angelis, Erik Ekström, “The dividend problem with a finite horizon”, Ann. Appl. Probab., 27, no. 6, 2017  crossref
  8. David Landriault, Bin Li, Hongzhong Zhang, “A unified approach for drawdown (drawup) of time-homogeneous Markov processes”, J. Appl. Probab., 54, no. 2, 2017, 603  crossref
  9. Sören Christensen, Albrecht Irle, “A general method for finding the optimal threshold in discrete time”, Stochastics, 91, no. 5, 2019, 728  crossref
  10. Cheng Cai, Tiziano De Angelis, Jan Palczewski, “On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions”, SIAM J. Control Optim., 61, no. 3, 2023, 1513  crossref
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