Gagliardini, Patrick; Ronchetti, Diego Semi-parametric estimation of American option prices. (English) Zbl 1443.62349 J. Econom. 173, No. 1, 57-82 (2013). MSC: 62P05 91G20 60G40 62G07 PDF BibTeX XML Cite \textit{P. Gagliardini} and \textit{D. Ronchetti}, J. Econom. 173, No. 1, 57--82 (2013; Zbl 1443.62349) Full Text: DOI Link Link OpenURL
Ivanov, R. V. Optimal stopping problem in a model with compensated refusal of reward. (English. Russian original) Zbl 1229.60052 Math. Notes 89, No. 2, 238-244 (2011); translation from Mat. Zametki 89, No. 2, 241-248 (2011). MSC: 60G40 91G80 PDF BibTeX XML Cite \textit{R. V. Ivanov}, Math. Notes 89, No. 2, 238--244 (2011; Zbl 1229.60052); translation from Mat. Zametki 89, No. 2, 241--248 (2011) Full Text: DOI OpenURL
Ivanov, R. V. On the problem of optimal stopping for the composite Russian option. (English. Russian original) Zbl 1204.93131 Autom. Remote Control 71, No. 8, 1602-1607 (2010); translation from Avtom. Telemekh. 2010, No. 8, 105-110 (2010). MSC: 93E20 91G10 PDF BibTeX XML Cite \textit{R. V. Ivanov}, Autom. Remote Control 71, No. 8, 1602--1607 (2010; Zbl 1204.93131); translation from Avtom. Telemekh. 2010, No. 8, 105--110 (2010) Full Text: DOI OpenURL
Chang, Mou-Hsiung; Pang, Tao; Pemy, Moustapha An approximation scheme for Black-Scholes equations with delays. (English) Zbl 1198.91227 J. Syst. Sci. Complex. 23, No. 3, 438-455 (2010). MSC: 91G60 91G20 65M06 PDF BibTeX XML Cite \textit{M.-H. Chang} et al., J. Syst. Sci. Complex. 23, No. 3, 438--455 (2010; Zbl 1198.91227) Full Text: DOI OpenURL
Fotopoulos, Stergios B.; Jandhyala, Venkata K.; Khapalova, Elena Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian sequences. (English) Zbl 1194.62016 Ann. Appl. Stat. 4, No. 2, 1081-1104 (2010). MSC: 62E20 62M09 62E15 65C60 62F15 PDF BibTeX XML Cite \textit{S. B. Fotopoulos} et al., Ann. Appl. Stat. 4, No. 2, 1081--1104 (2010; Zbl 1194.62016) Full Text: DOI arXiv OpenURL
Chang, Mou-Hsiung; Youree, Roger K. Spectral approximation of infinite-dimensional Black-Scholes equations with memory. (English) Zbl 1192.91175 Int. J. Stoch. Anal. 2009, Article ID 782572, 37 p. (2009). Reviewer: Georgiy Shevchenko (Kiev) MSC: 91G20 60G35 60H30 91G80 PDF BibTeX XML Cite \textit{M.-H. Chang} and \textit{R. K. Youree}, J. Appl. Math. Stochastic Anal. 2009, Article ID 782572, 37 p. (2009; Zbl 1192.91175) Full Text: DOI EuDML OpenURL
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. On the duality principle in option pricing: semimartingale setting. (English) Zbl 1150.91016 Finance Stoch. 12, No. 2, 265-292 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G48 PDF BibTeX XML Cite \textit{E. Eberlein} et al., Finance Stoch. 12, No. 2, 265--292 (2008; Zbl 1150.91016) Full Text: DOI OpenURL
Chang, Mou-Hsiung; Youree, Roger K. Infinite-dimensional Black-Scholes equation with hereditary structure. (English) Zbl 1143.91015 Appl. Math. Optimization 56, No. 3, 395-424 (2007). Reviewer: Elisa Alòs (Barcelona) MSC: 91B28 60H10 60H30 PDF BibTeX XML Cite \textit{M.-H. Chang} and \textit{R. K. Youree}, Appl. Math. Optim. 56, No. 3, 395--424 (2007; Zbl 1143.91015) Full Text: DOI OpenURL
Ivanov, R. V. Calculating the American options in the default model. (English. Russian original) Zbl 1126.93436 Autom. Remote Control 68, No. 3, 513-522 (2007); translation from Avtom. Telemekh. 68, No. 3, 154-164 (2007). MSC: 93E20 91G80 PDF BibTeX XML Cite \textit{R. V. Ivanov}, Autom. Remote Control 68, No. 3, 513--522 (2007; Zbl 1126.93436); translation from Avtom. Telemekh. 68, No. 3, 154--164 (2007) Full Text: DOI OpenURL
Kyprianou, A. E.; Pistorius, M. R. Perpetual options and Canadization through fluctuation theory. (English) Zbl 1039.60044 Ann. Appl. Probab. 13, No. 3, 1077-1098 (2003). MSC: 60G40 60J65 91B26 91B28 91B70 PDF BibTeX XML Cite \textit{A. E. Kyprianou} and \textit{M. R. Pistorius}, Ann. Appl. Probab. 13, No. 3, 1077--1098 (2003; Zbl 1039.60044) Full Text: DOI Link OpenURL
Chang, Mou-Hsiung; Youree, Roger K. The European option with hereditary price structures. (English) Zbl 1083.91512 Appl. Math. Comput. 102, No. 2-3, 279-296 (1999). Reviewer: Michael Kohlmann (Bonn) MSC: 91G20 34K50 60H99 PDF BibTeX XML Cite \textit{M.-H. Chang} and \textit{R. K. Youree}, Appl. Math. Comput. 102, No. 2--3, 279--296 (1999; Zbl 1083.91512) Full Text: DOI OpenURL
Nasyrov, F. S. Extended Itô integrals and the reflection problem. (English) Zbl 0931.60041 J. Math. Sci., New York 92, No. 4, 4051-4057 (1998). Reviewer: V.M.Kruglov (Moskva) MSC: 60H05 91B28 PDF BibTeX XML Cite \textit{F. S. Nasyrov}, J. Math. Sci., New York 92, No. 4, 4051--4057 (1998; Zbl 0931.60041) Full Text: DOI OpenURL
Bogachev, V. I. Gaussian measures on linear spaces. (English) Zbl 0881.28009 J. Math. Sci., New York 79, No. 2, 933-1034 (1996). Reviewer: M.Röckner (Bielefeld) MSC: 28C20 46G12 60H07 60B11 PDF BibTeX XML Cite \textit{V. I. Bogachev}, J. Math. Sci., New York 79, No. 2, 933--1034 (1996; Zbl 0881.28009) Full Text: DOI OpenURL