The Russian Option: Reduced Regret (1993)

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by Larry Shepp , A.N. Shiryaev
Citations:36 - 2 self

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27 Risk vs. Profit-Potential; A Model for Corporate Strategy – Roy Radner - 1996
8 Inside Information And Stock Fluctuations – Xin Guo - 1999
Principles of optimal stopping and . . . – Goran Peskir - 2001
Performativity in Financial Economics – Donald Mackenzie
504 Option pricing when underlying stock returns are discontinuous – Robert C. Merton - 1976
Discounted optimal stopping for diffusions: free-boundary versus martingale approach – Pavel V. Gapeev, Hans Rudolf Lerche
EXPLICIT CHARACTERIZATION Of OPTIMAL STOPPING TIMES – Anthony Mucci - 1977
OPTIMAL SWITCHING BETWEEN A PAIR OF BROWNIAN MOTIONS – Author(s) Avi M, Robert J. V, Avi Mandelbaum, Larry A. Shepp, Robert J. Vanderbei
Solving Singular Control from Optimal Switching – Xin Guo, Pascal Tomecek - 2008
6 Connections between singular control and optimal switching – Xin Guo, Pascal Tomecek - 2008
3 Existence of optimal controls for singular control problems with state constraints – Budhiraja, Kevin Ross - 2006
whose price is driven by – Robert C. Dalang, M. -o. Hongler, Ecole Polytechnique, Fédérale Lausanne
Applied Stochastic Processes, 2003, 554, Rm 552, Mon 6:20-9PM – Lawrence Shepp Rm
A Method For Computing Double Band Policies For Switching Between Two Diffusions – Florin Avram, Fikri Karaesmen, Fikri Karaesmen - 1996
A Model for Stock Price Fluctuations Based on Information – unknown authors
Option Pricing in a World With Arbitrage – Xin Guo, Larry Shepp - 2000
27 Connecting Discrete and Continuous Path-Dependent Options – Mark Broadie, Paul Glasserman, S. G. Kou - 1999
6 An optimal strategy for sellers in an online auction – Xin Guo
Growth Optimal Investment and Pricing of Derivatives – Erik Aurell A, Roberto Baviera B, Ola Hammarlid A, Maurizio Serva B, Angelo Vulpiani C - 1999