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math.PR2016
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…
math.PR2005
The disorder problem for compound Poisson processes with exponential jumps
Pavel V. Gapeev
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability chara…