On A Constant Related To American Type Options
Year:
2011Published in:
Theory of Probability and Mathematical StatisticsWe discuss a constant which arises in several problems related to optimal exercise of American derivative securities.
Related by author
71 publications found
Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity
Publisher: Bernoulli
Authors: Georgiy Shevchenko, Ilya Pavlyukevich
Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption
Publisher: Modern Stochastics: Theory and Applications
Authors: Georgiy Shevchenko, Taras Shalaiko
The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion
Publisher: Stochastics
Authors: Georgiy Shevchenko, Yulia Mishura
Asymptotic Behavior Of Mixed Power Variations And Statistical Estimation In Mixed Models
Publisher: Statistical Inference for Stochastic Processes
Authors: Georgiy Shevchenko, Yulia Mishura, Marco Dozzi
Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion
Publisher: Random Operators and Stochastic Equations
Authors: Georgiy Shevchenko, Yulia Mishura
Real Harmonizable Multifractional Stable Process And Its Local Properties
Publisher: Stochastic Processes and their Applications
Authors: Georgiy Shevchenko, Marco Dozzi, Yulia Mishura, Kostiantyn Ral’chenko
Boundary Non‑Crossing Probabilities Of Gaussian Processes: Sharp Bounds And Asymptotics
Publisher: Journal of Theoretical Probability
Authors: Georgiy Shevchenko, Enkelejd Hashorva, Yulia Mishura
Fractional Brownian Motion In A Nutshell
Publisher: arxiv
Authors: Georgiy Shevchenko
Approximation Schemes For Stochastic Differential Equations In Hilbert Space
Publisher: Theory of Probability & Its Applications
Authors: Georgiy Shevchenko, Yulia Mishura
Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises
Publisher: arxiv
Authors: Georgiy Shevchenko, Kostiantyn Prontenko, Yulia Mishura