14 citations · 17 across the 2 of their papers we have counts for
4 papers
Multiple Stopping and Exercise Boundaries for American Put Options
Katsunori Ano
This article studies a finite-horizon American put option with up to exercise rights under the risk-neutral Black--Scholes model, where consecutive exercises must be separated…
Multiple Stopping Options on a Geometric Random Walk
Katsunori Ano
This article develops a finite-horizon multiple-stopping framework and applies it to three American-style contracts on a geometric random walk in a Cox--Ross--Rubinstein market: an…
Option pricing in time-changed Lévy models with compound Poisson jumps
Roman V. Ivanov, Katsunori Ano
The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock…
Lower Bounds for Bruss' Odds Problem with Multiple Stoppings
Tomomi Matsui, Katsunori Ano
We give asymptotic lower bounds of the value for Bruss' optimal stopping problem with multiple stopping chances. It interestingly consists of the asymptotic threshold values in the…