8 citations · 12 across the 5 of their papers we have counts for
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math.PR2013
Resolvent-Techniques For Multiple Exercise Problems
Sören Christensen, Jukka Lempa
We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate…
q-fin.PR2013★ 3 cited
Swing options in commodity markets: A multidimensional Lévy diffusion model
Marcus Eriksson, Jukka Lempa, Trygve Kastberg Nilssen
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multid…