44 citations · 84 across the 22 of their papers we have counts for
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q-fin.PR2011★ 18 cited
Default Swap Games Driven by Spectrally Negative Levy Processes
Masahiko Egami, Tim S. T. Leung, Kazutoshi Yamazaki
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the…
math.OC2011★ 2 cited
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models
Masahiko Egami, Kazutoshi Yamazaki
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressio…