9 citations · 24 across the 24 of their papers we have counts for
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q-fin.MF2025
The value of partial information
Philip A. Ernst, Oleksii Mostovyi
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information tha…
q-fin.MF2016
Revisiting a Theorem of L.A. Shepp on Optimal Stopping
Philip Ernst, Larry Shepp
Using a bondholder who seeks to determine when to sell his bond as our motivating example, we revisit one of Larry Shepp's classical theorems on optimal stopping. We offer a novel…