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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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Book Reviews

A digitalized employee option

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Pages 103-115 | Received 02 May 2006, Accepted 25 Oct 2006, Published online: 05 Nov 2008

References

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  • Karatzas , I. 1988 . On the pricing of the American option . Applied Mathematics and Optimization , 17 : 37 – 60 .
  • Kim , I. 1990 . The analytic valuation of American options . Review of Financial Studies , 3 : 547 – 572 .
  • Musiela , M. and Rutkowski , M. 1997 . Martingale Methods in Financial Modelling , New York : Springer .
  • Pedersen , J.L. 2003 . Optimal prediction of the ultimate maximum of Brownian motion . Stochastics and Stochastics Reports , 75 : 205 – 219 .
  • Peskir , G. 2005 . A change-of-variable formula with local time on curves . Journal of Theoretical Probability , 18 : 499 – 535 .
  • Revuz , D. and Yor , M. 1999 . Continuous Martingales and Brownian Motion , 3rd ed. , New York : Springer .
  • Rubenstein , M. 1995 . On the accounting valuation of employee stock options . The Journal of Derivatives , 3 : 8 – 24 .
  • Shiryaev , A.N. 1978 . Optimal Stopping Rules , New York : Springer .

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