175 citations to 10.1214/aoap/1177005355 (Crossref Cited-By Service)
  1. Albert Cohen, “Examples of optimal prediction in the infinite horizon case”, Statistics & Probability Letters, 80, № 11-12, 2010, 950  crossref
  2. Goran Peskir, “Designing options given the risk: the optimal Skorokhod-embedding problem”, Stochastic Processes and their Applications, 81, № 1, 1999, 25  crossref
  3. Min Hyeok Woo, Geon Ho Choe, “Pricing of American lookback spread options”, Stochastic Processes and their Applications, 130, № 10, 2020, 6300  crossref
  4. Лэрри А Шепп, Larry A Shepp, Альберт Николаевич Ширяев, Albert Nikolaevich Shiryaev, Альберт Николаевич Ширяев, Albert Nikolaevich Shiryaev, “Русский опцион в условиях возможного “замораживания” цен”, УМН, 56, № 1, 2001, 187  crossref
  5. Gianluca Fusai, Encyclopedia of Quantitative Finance, 2010  crossref
  6. Ernesto Mordecki, Paavo Salminen, “Optimal stopping of Brownian motion with broken drift”, High Frequency, 2, № 2, 2019, 113  crossref
  7. Pavel V. Gapeev, “Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes”, Methodol Comput Appl Probab, 24, № 2, 2022, 749  crossref
  8. S. E. Graversen, G. Peskir, “Optimal stopping and maximal inequalities for geometric Brownian motion”, Journal of Applied Probability, 35, № 4, 1998, 856  crossref
  9. Fabián Crocce, Ernesto Mordecki, “Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions”, Stochastics, 86, № 3, 2014, 491  crossref
  10. Florin Avram, Nhat Linh Vu, Xiaowen Zhou, “On taxed spectrally negative Lévy processes with draw-down stopping”, Insurance: Mathematics and Economics, 76, 2017, 69  crossref
Предыдущая
1
2
3
4
5
6
7
18
Следующая