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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
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Original Articles

Filling the gap between American and Russian options: adjustable regret

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Pages 61-83 | Received 07 Apr 2006, Accepted 29 Sep 2006, Published online: 05 Nov 2008

References

  • Shepp , L.A. and Shiryaev , A.N. 1994 . A new look at the “Russian option” . Teoriya Veroyatnosti i ee Primeneniya , 39 ( 1 ) : 130 – 149 .
  • Shepp , L.A. and Shiryaev , A.N. 1993 . The Russian option: reduced regret . Annals of Applied Probability , 3 ( 3 ) : 631 – 640 .
  • Duffie , D. and Harrison , M.J. 1993 . Arbitrage pricing of Russian options and perpetual lookback options . Annals of Applied Probability , 3 ( 3 ) : 641 – 651 .
  • Freeman , P.R. 1983 . The secretary problem and its extensions: a review . International Statistics Review , 51 ( 2 ) : 189 – 206 .
  • Samuels , S.M. 1991 . “ Secretary problems ” . In Handbook of Sequential Analysis , Vol. 118 , 381 – 405 . New York, NY : Dekker . Statistics Textbooks Monographs
  • Carmona, R. and Dayanik, S., 2003, Optimal multiple-stopping of linear diffusions and swing options, Preprint, ( http://www.princeton.edu/-0.9ex sdayanik/papers/swing.pdf ).
  • Carmona, R. and Touzi, N., 2003, Optimal multiple stopping and valuation of swing options, To appear in Mathematical Finance.
  • Dayanik , S. and Karatzas , I. 2003 . On the optimal stopping problem for one-dimensional diffusions . Stochastic Processes and Applications , 107 ( 2 ) : 173 – 212 .
  • Dynkin , E.B. 1963 . Optimal choice of the stopping moment of a Markov process . Doklady Akademii Nauk SSSR , 150 : 238 – 240 .
  • Dynkin , E.B. and Yushkevich , A.A. 1969 . Markov Processes: Theorems and Problems , New York : Plenum Press . Translated from the Russian by James S. Wood

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