Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Guo, Xin
and
Shepp, Larry
2001.
Some optimal stopping problems with nontrivial boundaries for pricing exotic options.
Journal of Applied Probability,
Vol. 38,
Issue. 03,
p.
647.
Guo, Xin
Miao, Jianjun
and
Morellec, Erwan
2002.
Irreversible Investment with Regime Shifts.
SSRN Electronic Journal,
Zervos, Mihail
2003.
A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping.
SIAM Journal on Control and Optimization,
Vol. 42,
Issue. 2,
p.
397.
Silvestrov, Dmitrii
and
Stenberg, Fredrik
2004.
A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process.
Communications in Statistics - Theory and Methods,
Vol. 33,
Issue. 3,
p.
591.
Asmussen, Søren
Avram, Florin
and
Pistorius, Martijn R.
2004.
Russian and American put options under exponential phase-type Lévy models.
Stochastic Processes and their Applications,
Vol. 109,
Issue. 1,
p.
79.
Elliott, Robert J
and
Chan, Leunglung
2004.
Perpetual American options with fractional Brownian motion.
Quantitative Finance,
Vol. 4,
Issue. 2,
p.
123.
Zhang, Q.
and
Guo, X.
2004.
Closed-Form Solutions for Perpetual American Put Options with Regime Switching.
SIAM Journal on Applied Mathematics,
Vol. 64,
Issue. 6,
p.
2034.
Guo, Xin
Miao, Jianjun
and
Morellec, Erwan
2005.
Irreversible investment with regime shifts.
Journal of Economic Theory,
Vol. 122,
Issue. 1,
p.
37.
Guo, X.
and
Zhang, Q.
2005.
Optimal selling rules in a regime switching model.
IEEE Transactions on Automatic Control,
Vol. 50,
Issue. 9,
p.
1450.
Mao, Xuerong
Truman, Aubrey
and
Yuan, Chenggui
2006.
Euler‐Maruyama approximations in mean‐revertingstochastic volatility model under regime‐switching.
International Journal of Stochastic Analysis,
Vol. 2006,
Issue. 1,
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2006.
American Options in Regime-Switching Models.
SSRN Electronic Journal,
Jobert, A.
and
Rogers, L. C. G.
2006.
Option Pricing With Markov-Modulated Dynamics.
SIAM Journal on Control and Optimization,
Vol. 44,
Issue. 6,
p.
2063.
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2006.
Perpetual American Options in Regime-Switching Models.
SSRN Electronic Journal,
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2006.
Exit Problems in Regime-Switching Models.
SSRN Electronic Journal,
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2007.
American Options in Lévy Models with Stochastic Interest Rates.
SSRN Electronic Journal,
Elliott, Robert J.
and
Swishchuk, Anatoliy V.
2007.
Hidden Markov Models in Finance.
Vol. 104,
Issue. ,
p.
45.
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2007.
American Options in Levy Models With Stochastic Interest Rate of CIR-Type.
SSRN Electronic Journal,
Ly Vath, Vathana
and
Pham, Huyên
2007.
Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case.
SIAM Journal on Control and Optimization,
Vol. 46,
Issue. 2,
p.
395.
Boyarchenko, Svetlana
and
Levendorskiĭ, Sergei
2008.
Exit problems in regime-switching models.
Journal of Mathematical Economics,
Vol. 44,
Issue. 2,
p.
180.
Boyarchenko, Svetlana I.
and
Levendorskii, Sergei Z.
2008.
Pricing American Options in Regime-Switching Models: FFT Realization.
SSRN Electronic Journal,