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~person:"Peskir, Goran"
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Search: subject:"Geometric Brownian Motion"
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geometric Brownian motion
3
local time-space calculus
3
optimal stopping
3
Stochastic process
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Stochastischer Prozess
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Theorie
2
Theory
2
arbitrage-free price
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free-boundary problem
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nonlinear integral equation
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American Asian option
1
British Asian option
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Dynamic optimality
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Geometric Brownian motion
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Russian option
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arithmetic/geometric average
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curved boundary
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finite horizon
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fixed/floating strike
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flexible Asian options
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Peskir, Goran
Feng, Runhuan
7
Breccia, Adriana
4
Chan, Leunglung
4
Diasakos, Theodoros M.
4
Gapeev, Pavel V.
4
Min, K. Jo
4
Volkmer, Hans W.
4
Dhaene, Jan
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Fujita, Yasunori
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Gambrah, Priscilla Serwaa Nkyira
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Gao, Min
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Hertrich, Markus
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Jeanblanc, Monique
3
Jing, Xiaochen
3
Kitapbayev, Yerkin
3
Mikolajun, Irena
3
Pirvu, Traian Adrian
3
Viaene, Jean-Marie
3
Albornoz, Facundo
2
Anagnostou, Ioannis
2
Anquandah, Jason S.
2
Bogachev, Leonid V.
2
Cao, Lingyan
2
Chen, Kim Heng
2
Chen, Ping
2
Dastranj, Elham
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Diasakos, Theodoros M
2
Eisenberg, Julia
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Fabozzi, Frank J.
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Fanelli, Sebastián
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Fotopoulos, Stergios B.
2
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2
Gushchin, Alexander A.
2
Hallak, Juan Carlos
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Finance Discipline Group, Business School
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Applied mathematical finance
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ECONIS (ZBW)
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1
Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
;
Peskir, Goran
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 137-160
Persistent link: https://www.econbiz.de/10011900522
Saved in:
2
Optimal prediction of resistance and support levels
De Angelis, Tiziano
;
Peskir, Goran
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 465-483
Persistent link: https://www.econbiz.de/10011704271
Saved in:
3
The British Asian Option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
Finance Discipline Group, Business School
-
2009
-free price, rational exercise boundary, liquid/illiquid market,
geometric
Brownian
motion
, the Shiryaev process, optimal stopping …
Persistent link: https://www.econbiz.de/10004984481
Saved in:
4
The Russian option: Finite horizon
Peskir, Goran
- In:
Finance and Stochastics
9
(
2005
)
2
,
pp. 251-267
We show that the optimal stopping boundary for the Russian option with finite horizon can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation (an explicit formula for the arbitrage-free price in terms of the optimal...
Persistent link: https://www.econbiz.de/10005759636
Saved in:
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