Journal ArticleDOI
Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
Reads0
Chats0
About:
This article is published in Theory of Probability and Its Applications.The article was published on 1970-01-01. It has received 50 citations till now. The article focuses on the topics: Stopping time & Optimal stopping.read more
Citations
More filters
Journal ArticleDOI
On the pricing of American options
TL;DR: In this paper, the problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan.
Journal ArticleDOI
On the optimal stopping problem for one-dimensional diffusions
Savas Dayanik,Ioannis Karatzas +1 more
TL;DR: In this paper, a new characterization of excessive functions for arbitrary one-dimensional regular diffusion processes is provided, using the notion of concavity, and a new perspective and new facts about the principle of smooth-fit in the context of optimal stopping are presented.
Journal ArticleDOI
Pricing options on risky assets in a stochastic interest rate economy
Kaushik I. Amin,Robert A. Jarrow +1 more
TL;DR: This article derived closed form form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts, whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan and Karatzas (1988) in this regard.
Journal ArticleDOI
Hedging American contingent claims with constrained portfolios
Ioannis Karatzas,Steven Kou +1 more
TL;DR: The valuation theory for American Contingent Claims is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending.
Journal ArticleDOI
A new approach to the skorohod problem, and its applications
N. El Karoui,Ioannis Karatzas +1 more
TL;DR: In this article, the authors show that direct integration of the optimal risk in a stopping problem for Brownian motion yields the value function of the monotone follower stochastic control problem and provide an explicit construction of its optimal process.