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20052025
most citedThe disorder problem for compound Poisson processes with exponential jumps

26 citations · 45 across the 6 of their papers we have counts for

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math.PR2014

Optimal stopping problems in diffusion-type models with running maxima and drawdowns

Pavel V. Gapeev, Neofytos Rodosthenous

We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates…