Perpetual options and Canadization through fluctuation theory
type: Item
instance of: scholarly article
title: Perpetual options and Canadization through fluctuation theory
zbMATH Open document ID: 1039.60044
published in: The Annals of Applied Probability
publication date: 2004-03-21T00:00:00Z
full work available at URL: https://dspace.library.uu.nl/handle/1874/3213
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 2061210
zbMATH Keywords: option pricing
zbMATH Keywords: perpetual option
zbMATH Keywords: call option
zbMATH Keywords: put option
zbMATH Keywords: Russian option
zbMATH Keywords: integral option
zbMATH Keywords: stopping time
zbMATH Keywords: Laplace transform
zbMATH Keywords: Brownian motion
zbMATH Keywords: Bessel process
author: A. E. Kyprianou
author: Martijn R. Pistorius
MaRDI profile type: Publication
OpenAlex ID: W2024610598
cites work: Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
cites work: Q4888858
cites work: Q4265385
cites work: Q4714465
cites work: Randomization and the American Put
cites work: Arbitrage pricing of Russian options and perpetual lookback options
cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
cites work: On the Russian option: The expected waiting time
cites work: Q4368791
cites work: Q4845602
cites work: Semi-stable Markov processes. I
cites work: Q3215519
cites work: The pricing of the American option
cites work: Q4263271
cites work: Q4303982
cites work: The Russian option: Reduced regret
cites work: Q4845598
cites work: Q3732690
cites work: Q4693741
cites work: Q3126393
DOI: 10.1214/AOAP/1060202835
description: scientific article; zbMATH DE number 2061210