133 results in 91Gxx
On an optimal extraction problem with regime switching
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
- Published online by Cambridge University Press:
- 16 November 2018, pp. 671-705
- Print publication:
- September 2018
-
- Article
- Export citation
Windings of planar processes, exponential functionals and Asian options
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
- Published online by Cambridge University Press:
- 16 November 2018, pp. 726-742
- Print publication:
- September 2018
-
- Article
- Export citation
INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 60 / Issue 1 / July 2018
- Published online by Cambridge University Press:
- 08 August 2018, pp. 65-85
-
- Article
-
- You have access
- Export citation
Recursive formula for the double-barrier Parisian stopping time
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
- Published online by Cambridge University Press:
- 28 March 2018, pp. 282-301
- Print publication:
- March 2018
-
- Article
- Export citation
An optimal consumption and investment problem with partial information
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
- Published online by Cambridge University Press:
- 20 March 2018, pp. 131-153
- Print publication:
- March 2018
-
- Article
-
- You have access
- Export citation
Optimal portfolio selection under vanishing fixed transaction costs
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 49 / Issue 4 / December 2017
- Published online by Cambridge University Press:
- 17 November 2017, pp. 1116-1143
- Print publication:
- December 2017
-
- Article
- Export citation
POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING
- Part of
-
- Journal:
- Bulletin of the Australian Mathematical Society / Volume 97 / Issue 1 / February 2018
- Published online by Cambridge University Press:
- 02 November 2017, pp. 174-176
- Print publication:
- February 2018
-
- Article
-
- You have access
- Export citation
Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options
- Part of
-
- Journal:
- Numerical Mathematics: Theory, Methods and Applications / Volume 10 / Issue 4 / November 2017
- Published online by Cambridge University Press:
- 12 September 2017, pp. 829-851
- Print publication:
- November 2017
-
- Article
- Export citation
Successive enlargement of filtrations and application to insider information
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 49 / Issue 3 / September 2017
- Published online by Cambridge University Press:
- 08 September 2017, pp. 653-685
- Print publication:
- September 2017
-
- Article
- Export citation
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
- Published online by Cambridge University Press:
- 15 September 2017, pp. 710-719
- Print publication:
- September 2017
-
- Article
- Export citation
On the convergence of the quasi-regression method: polynomial chaos and regularity
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
- Published online by Cambridge University Press:
- 22 June 2017, pp. 424-443
- Print publication:
- June 2017
-
- Article
- Export citation
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 49 / Issue 2 / June 2017
- Published online by Cambridge University Press:
- 26 June 2017, pp. 446-480
- Print publication:
- June 2017
-
- Article
- Export citation
ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 58 / Issue 3-4 / April 2017
- Published online by Cambridge University Press:
- 24 May 2017, pp. 386-396
-
- Article
-
- You have access
- Export citation
PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 58 / Issue 3-4 / April 2017
- Published online by Cambridge University Press:
- 16 May 2017, pp. 406-416
-
- Article
-
- You have access
- Export citation
Dynkin games with heterogeneous beliefs
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
- Published online by Cambridge University Press:
- 04 April 2017, pp. 236-251
- Print publication:
- March 2017
-
- Article
- Export citation
Stochastic impulse control of exchange rates with Freidlin–Wentzell perturbations
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
- Published online by Cambridge University Press:
- 04 April 2017, pp. 23-41
- Print publication:
- March 2017
-
- Article
- Export citation
Solving finite time horizon Dynkin games by optimal switching
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 53 / Issue 4 / December 2016
- Published online by Cambridge University Press:
- 09 December 2016, pp. 957-973
- Print publication:
- December 2016
-
- Article
-
- You have access
- Export citation
Risk minimization for game options in markets imposing minimal transaction costs
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
- Published online by Cambridge University Press:
- 19 September 2016, pp. 926-946
- Print publication:
- September 2016
-
- Article
- Export citation
Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
- Part of
-
- Journal:
- East Asian Journal on Applied Mathematics / Volume 6 / Issue 3 / August 2016
- Published online by Cambridge University Press:
- 20 July 2016, pp. 314-336
- Print publication:
- August 2016
-
- Article
- Export citation
The sound of silence: equilibrium filtering and optimal censoring in financial markets
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 48 / Issue A / July 2016
- Published online by Cambridge University Press:
- 25 July 2016, pp. 119-144
- Print publication:
- July 2016
-
- Article
- Export citation