Wu, Zhuoshu Optimal stopping problems with a random time horizon. (Abstract of thesis). (English) Zbl 1523.60072 Bull. Aust. Math. Soc. 108, No. 2, 345-346 (2023). MSC: 60G40 35R35 45G10 60J65 60G51 62M20 PDFBibTeX XMLCite \textit{Z. Wu}, Bull. Aust. Math. Soc. 108, No. 2, 345--346 (2023; Zbl 1523.60072) Full Text: DOI
Peskir, Goran Continuity of the optimal stopping boundary for two-dimensional diffusions. (English) Zbl 1409.60066 Ann. Appl. Probab. 29, No. 1, 505-530 (2019). MSC: 60G40 60J60 60H30 35K20 35J25 35R35 PDFBibTeX XMLCite \textit{G. Peskir}, Ann. Appl. Probab. 29, No. 1, 505--530 (2019; Zbl 1409.60066) Full Text: DOI Euclid
De Angelis, T.; Peskir, G. Optimal prediction of resistance and support levels. (English) Zbl 1396.60041 Appl. Math. Finance 23, No. 5-6, 465-483 (2016). MSC: 60G35 60G40 PDFBibTeX XMLCite \textit{T. De Angelis} and \textit{G. Peskir}, Appl. Math. Finance 23, No. 5--6, 465--483 (2016; Zbl 1396.60041) Full Text: DOI
Kitapbayev, Yerkin The British lookback option with fixed strike. (English) Zbl 1396.91742 Appl. Math. Finance 22, No. 3-4, 238-260 (2015). MSC: 91G20 60G40 60J70 PDFBibTeX XMLCite \textit{Y. Kitapbayev}, Appl. Math. Finance 22, No. 3--4, 238--260 (2015; Zbl 1396.91742) Full Text: DOI
Al-Fagih, Luluwah The British knock-out put option. (English) Zbl 1337.91082 Int. J. Theor. Appl. Finance 18, No. 2, Article ID 1550008, 32 p. (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{L. Al-Fagih}, Int. J. Theor. Appl. Finance 18, No. 2, Article ID 1550008, 32 p. (2015; Zbl 1337.91082) Full Text: DOI
Peskir, Goran; Samee, Farman The British call option. (English) Zbl 1280.91175 Quant. Finance 13, No. 1, 95-109 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Peskir} and \textit{F. Samee}, Quant. Finance 13, No. 1, 95--109 (2013; Zbl 1280.91175) Full Text: DOI
Yang, Xiangfeng Itô formulas for functionals of elliptic diffusions. (English) Zbl 1266.60097 Appl. Math. Sci., Ruse 6, No. 65-68, 3235-3244 (2012). MSC: 60H05 60J60 60G15 60H07 PDFBibTeX XMLCite \textit{X. Yang}, Appl. Math. Sci., Ruse 6, No. 65--68, 3235--3244 (2012; Zbl 1266.60097) Full Text: Link
Peskir, Goran; Samee, Farman The British put option. (English) Zbl 1239.91166 Appl. Math. Finance 18, No. 5-6, 537-563 (2011). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Peskir} and \textit{F. Samee}, Appl. Math. Finance 18, No. 5--6, 537--563 (2011; Zbl 1239.91166) Full Text: DOI
Walsh, Alexander Local time-space calculus for symmetric Lévy processes. (English) Zbl 1231.60081 Stochastic Processes Appl. 121, No. 9, 1982-2013 (2011). Reviewer: Mikko Pakkanen (Aarhus) MSC: 60J55 60G44 60H05 60J65 PDFBibTeX XMLCite \textit{A. Walsh}, Stochastic Processes Appl. 121, No. 9, 1982--2013 (2011; Zbl 1231.60081) Full Text: DOI
Glover, Kristoffer; Peskir, Goran; Samee, Farman The British Asian option. (English) Zbl 1319.91148 Sequential Anal. 29, No. 3, 311-327 (2010). MSC: 91G20 60G40 60H15 60H30 60J60 45G10 PDFBibTeX XMLCite \textit{K. Glover} et al., Sequential Anal. 29, No. 3, 311--327 (2010; Zbl 1319.91148) Full Text: DOI Link
Madan, Dilip B.; Roynette, Bernard; Yor, Marc Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case. (English) Zbl 1183.91179 Int. J. Theor. Appl. Finance 12, No. 8, 1075-1090 (2009). Reviewer: E. Ahmed (Mansoura) MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{D. B. Madan} et al., Int. J. Theor. Appl. Finance 12, No. 8, 1075--1090 (2009; Zbl 1183.91179) Full Text: DOI
Eisenbaum, Nathalie; Kyprianou, Andreas On the parabolic generator of a general one-dimensional Lévy process. (English) Zbl 1191.60063 Electron. Commun. Probab. 13, 198-209 (2008). MSC: 60G51 60G44 60H05 60J55 PDFBibTeX XMLCite \textit{N. Eisenbaum} and \textit{A. Kyprianou}, Electron. Commun. Probab. 13, 198--209 (2008; Zbl 1191.60063) Full Text: DOI EuDML EMIS
du Toit, Jacques; Peskir, Goran Predicting the time of the ultimate maximum for Brownian motion with drift. (English) Zbl 1149.60311 Sarychev, Andrey (ed.) et al., Mathematical control theory and finance. Proceedings of the workshop, Lisbon, April 10–14, 2007. Berlin: Springer (ISBN 978-3-540-69531-8/hbk). 95-112 (2008). MSC: 60G40 60J65 35R35 62M20 45G10 PDFBibTeX XMLCite \textit{J. du Toit} and \textit{G. Peskir}, in: Mathematical control theory and finance. Proceedings of the workshop, Lisbon, April 10--14, 2007. Berlin: Springer. 95--112 (2008; Zbl 1149.60311) Full Text: DOI
Yang, Xiangfeng; Yan, Litan Some remarks on local time-space calculus. (English) Zbl 1131.60052 Stat. Probab. Lett. 77, No. 16, 1600-1607 (2007). MSC: 60H05 60H07 60J55 PDFBibTeX XMLCite \textit{X. Yang} and \textit{L. Yan}, Stat. Probab. Lett. 77, No. 16, 1600--1607 (2007; Zbl 1131.60052) Full Text: DOI
Peskir, Goran A change-of-variable formula with local time on surfaces. (English) Zbl 1141.60035 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XL. Berlin: Springer (ISBN 978-3-540-71188-9/pbk). Lecture Notes in Mathematics 1899, 69-96 (2007). Reviewer: Nicolas Privault (Hong Kong) MSC: 60H05 60J55 60G44 60J60 60J65 35R35 PDFBibTeX XMLCite \textit{G. Peskir}, Lect. Notes Math. 1899, 69--96 (2007; Zbl 1141.60035) Full Text: DOI
du Toit, J.; Peskir, G. The trap of complacency in predicting the maximum. (English) Zbl 1120.60044 Ann. Probab. 35, No. 1, 340-365 (2007). Reviewer: Ryszard Doman (Poznan) MSC: 60G40 60J65 60J60 35R35 45G15 PDFBibTeX XMLCite \textit{J. du Toit} and \textit{G. Peskir}, Ann. Probab. 35, No. 1, 340--365 (2007; Zbl 1120.60044) Full Text: DOI arXiv
Peskir, Goran; Shiryaev, Albert Optimal stopping and free-boundary problems. (English) Zbl 1115.60001 Lectures in Mathematics, ETH Zürich. Basel: Birkhäuser (ISBN 3-7643-2419-8/hbk). xxii, 500 p. (2006). Reviewer: Pavel Gapeev (Berlin) MSC: 60-02 60G40 35R35 45G10 45G15 62C10 62L15 60H05 91B28 60H10 PDFBibTeX XMLCite \textit{G. Peskir} and \textit{A. Shiryaev}, Optimal stopping and free-boundary problems. Basel: Birkhäuser (2006; Zbl 1115.60001)
Peskir, Goran The Russian option: finite horizon. (English) Zbl 1092.91029 Finance Stoch. 9, No. 2, 251-267 (2005). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G20 35R35 45G10 60J60 PDFBibTeX XMLCite \textit{G. Peskir}, Finance Stoch. 9, No. 2, 251--267 (2005; Zbl 1092.91029) Full Text: DOI Link
Peskir, Goran On the American option problem. (English) Zbl 1109.91028 Math. Finance 15, No. 1, 169-181 (2005). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{G. Peskir}, Math. Finance 15, No. 1, 169--181 (2005; Zbl 1109.91028) Full Text: DOI
Gapeev, P. V.; Peskir, G. The Wiener sequential testing problem with finite horizon. (English) Zbl 1054.62087 Stochastics Stochastics Rep. 76, No. 1, 59-75 (2004). MSC: 62L10 35R35 62M02 45G15 62F15 62L15 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{G. Peskir}, Stochastics Stochastics Rep. 76, No. 1, 59--75 (2004; Zbl 1054.62087) Full Text: DOI