An optimal stopping problem in a diffusion-type model with delay
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- Gapeev, Pavel V. & Reiß, Markus, 2006. "An optimal stopping problem in a diffusion-type model with delay," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 601-608, March.
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Cited by:
- Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," LSE Research Online Documents on Economics 105849, London School of Economics and Political Science, LSE Library.
- Marie Bernhart & Peter Tankov & Xavier Warin, 2010.
"A finite dimensional approximation for pricing moving average options,"
Papers
1011.3599, arXiv.org.
- Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Working Papers hal-00554216, HAL.
- Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
- Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," Statistics & Probability Letters, Elsevier, vol. 167(C).
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