References
- Alili , L. and Kyprianou , A.E. 2005 . Some remarks on first passage of Lévy processes, the American put and pasting principles . The Annals of Applied Probability , 15 ( 3 ) : 2062 – 2080 .
- Bassan , B. and Ceci , C. 2000 . Optimal stopping problems with discontinuous reward: regularity of the value function and viscosity solutions . Stochastics and Stochastics Reports , 72 ( 1–2 ) : 55 – 77 .
- Bassan , B. and Ceci , C. 2002 . Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes . Stochastics and Stochastics Reports , 74 ( 3–4 ) : 633 – 649 .
- Broadie , M. and Detemple , J. 1995 . American capped call options on dividend-paying assets . The Review of Financial Studies , 8 ( 1 ) : 161 – 191 .
- Ceci , C. and Bassan , B. 2004 . Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes . Stochastics and Stochastics Reports , 76 ( 4 ) : 323 – 337 .
- Cont , R. and Voltchkova , E. 2005 . Integro-differential equations for option prices in exponential Lévy models . Finance and Stochastics , 9 : 299 – 325 .
- Dynkin , E.B. 1963 . The optimum choice of the instant for stopping a Markov process . Soviet Mathematics Doklady , 4 : 627 – 629 .
- Gapeev , P.V. and Kühn , C. 2005 . Perpetual convertible bonds in jump-diffusion models . Statistics and Decisions , 23 : 15 – 31 .
- Grigelionis , B.I. and Shiryaev , A.N. 1966 . On Stefan's problem and optimal stopping rules for Markov processes . Theory of Probability and Its Applications , 11 : 541 – 558 .
- Jacod , J. 1979 . Calcul Stochastique et Problèmes de Martingales Lecture Notes in Mathematics (Berlin: Springer)
- Jacod , J. and Shiryaev , A.N. 1987 . Limit Theorems for Stochastic Processes , Berlin : Springer .
- Kallsen , J. and Kühn , C. 2004 . Pricing derivatives of American and game type in incomplete markets . Finance and Stochastics , 8 : 261 – 284 .
- Karatzas , I. and Wang , H. 2000 . Barrier options of American type . Applied Mathematics and Optimization , 42 : 259 – 279 .
- Kou , S.G. 2002 . A jump diffusion model for option pricing . Management Science , 48 : 1086 – 1101 .
- Kou , S.G. and Wang , H. 2004 . Option pricing under a double exponential jump diffusion model . Management Science , 50 : 1178 – 1192 .
- Mordecki , E. 1999 . Optimal stopping for a diffusion with jumps . Finance and Stochastics , 3 : 227 – 236 .
- Mordecki , E. 2002 . Optimal stopping and perpetual options for Lévy processes . Finance and Stochastics , 6 : 473 – 493 .
- Peskir , G. and Shiryaev , A.N. 2000 . Sequential testing problems for Poisson processes . The Annals of Statistics , 28 : 837 – 859 .
- Peskir , G. and Shiryaev , A.N. 2002 . “ Solving the Poisson disorder problem ” . In Advances in Finance and Stochastics , Edited by: Sandmann , K. and Schönbucher , P. 295 – 312 . Berlin : Springer . Essays in Honour of Dieter Sondermann.
- Peskir , G. and Shiryaev , A.N. 2006 . Optimal Stopping and Free-Boundary Problems , Basel : Bikkhäuser .
- Protter , Ph.E. 2004 . Stochastic Integration and Differential Equations , 2nd ed. , Berlin : Springer .
- Shepp , L.A. , Shiryaev , A.N. and Sulem , A. 2002 . “ A barrier version of the Russian option ” . In Advances in Finance and Stochastics , Edited by: Sandmann , K. and Schönbucher , P. 271 – 284 . Berlin : Springer . Essays in Honour of Dieter Sondermann.
- Shiryaev , A.N. , Kabanov , Y.M. , Kramkov , D.O. and Melnikov , A.V. 1994 . On the pricing of options of European and American types II. Continuous time . Theory of Probability and Its Applications , 39 ( 1 ) : 61 – 102 .
- Shiryaev , A.N. 1978 . Optimal Stopping Rules , Berlin : Springer .
- Shiryaev , A.N. 1999 . Essentials of Stochastic Finance , Singapore : World Scientific .