Stochastics, Volume 79, Issue 1-2 (2007)

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Stochastics, Volume 79, Issue 1-2 (2007)

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Optimal Stopping and Applications Part I

Miscellany

Optimal stopping with applications: an editorial prelude
S. D. Jacka, A. E. Kyprianou & G. Peskir
Pages: 1-4
Published online: 05 Nov 2008
First Page PreviewforOptimal stopping with applications: an editorial prelude | Full Text | PDF (54.4 KB)
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Free Access

Original Articles

Article
The American put option in a one-dimensional diffusion model with level-dependent volatility
P. Babilua, I. Bokuchava, B. Dochviri & M. Shashiashvili
Pages: 5-25
Published online: 05 Nov 2008
AbstractforThe American put option in a one-dimensional diffusion model with level-dependent volatility | Full Text | References | PDF (173.7 KB)
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Article
The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
Farshid Jamshidian
Pages: 27-60
Published online: 05 Nov 2008
AbstractforThe duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope | Full Text | References | PDF (317.6 KB)
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Article
Filling the gap between American and Russian options: adjustable regret
Savas Dayanik & Michael Ludkovski
Pages: 61-83
Published online: 05 Nov 2008
AbstractforFilling the gap between American and Russian options: adjustable regret | Full Text | References | PDF (561.8 KB)
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Article
Optimal stopping of the maximum process: a converse to the results of Peskir
David Hobson
Pages: 85-102
Published online: 05 Nov 2008
AbstractforOptimal stopping of the maximum process: a converse to the results of Peskir | Full Text | References | PDF (201.6 KB)
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Book Reviews

Book Review
A digitalized employee option
B. Jensen & J. L. Pedersen
Pages: 103-115
Published online: 05 Nov 2008
AbstractforA digitalized employee option | Full Text | References | PDF (180.7 KB)
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Original Articles

Article
Pricing Israeli options: a pathwise approach
C. Kühn, A. E. Kyprianou & K. van Schaik
Pages: 117-137
Published online: 05 Nov 2008
AbstractforPricing Israeli options: a pathwise approach | Full Text | References | PDF (224.6 KB)
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Article
Perpetual barrier options in jump-diffusion models
Pavel V. Gapeev
Pages: 139-154
Published online: 05 Nov 2008
AbstractforPerpetual barrier options in jump-diffusion models | Full Text | References | PDF (310.9 KB)
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Article
Double optimal stopping of a risk process
Anna Karpowicz & Krzysztof Szajowski
Pages: 155-167
Published online: 05 Nov 2008
AbstractforDouble optimal stopping of a risk process | Full Text | References | PDF (157 KB)
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Article
Hedging with risk for game options in discrete time
Yan Dolinsky & Yuri Kifer
Pages: 169-195
Published online: 05 Nov 2008
AbstractforHedging with risk for game options in discrete time | Full Text | References | PDF (262.3 KB)
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