2 citations · 2 across the 4 of their papers we have counts for
7 papers
Double continuation regions for American options under Poisson exercise opportunities
Zbigniew Palmowski, José Luis Pérez, Kazutoshi Yamazaki
We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in…
Universality classes for general random matrix flows
Jacek Małecki, José Luis Pérez
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes…
Optimal bail-out dividends problem with transaction cost and capital injection constraint
Mauricio Junca, Harold Moreno-Franco, José Luis Pérez
We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present v…
Backbone decomposition of multitype superprocesses
Dorottya Fekete, Sandra Palau, Juan Carlos Pardo +1
In this paper, we provide a construction of the so-called backbone decomposition for multitype supercritical superprocesses. While backbone decompositions are fairly well-known for…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…
Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
Arturo Jaramillo, Juan Carlos Pardo, José Luis Pérez
For a given normalized Gaussian symmetric matrix-valued process , we consider the process of its eigenvalues as well a…