Zobrazeno 1 - 10
of 175
pro vyhledávání: '"Gapeev, Pavel V."'
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Publikováno v:
Stochastic Processes and their Applications (2016), Vol. 126, No. 7, 2038-2061
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown. The optim
Externí odkaz:
http://arxiv.org/abs/1604.02890
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its max
Externí odkaz:
http://arxiv.org/abs/1405.4438
Autor:
Gapeev, Pavel V.
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability characteristics. We derive closed form solutions i
Externí odkaz:
http://arxiv.org/abs/1011.0174
Autor:
Gapeev, Pavel V., Shiryaev, Albert N.
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the weighted
Externí odkaz:
http://arxiv.org/abs/1010.3430
Autor:
Gapeev, Pavel V.
Publikováno v:
Annals of Applied Probability 2005, Vol. 15, No. 1A, 487-499
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for some special
Externí odkaz:
http://arxiv.org/abs/math/0503481
Autor:
Gapeev, Pavel V.1 (AUTHOR) p.v.gapeev@lse.ac.uk, Kort, Peter M.2,3 (AUTHOR), Lavrutich, Maria N.4 (AUTHOR), Thijssen, Jacco J. J.5 (AUTHOR)
Publikováno v:
Methodology & Computing in Applied Probability. Jun2022, Vol. 24 Issue 2, p789-813. 25p.
Autor:
Gapeev, Pavel V.1 (AUTHOR) p.v.gapeev@lse.ac.uk
Publikováno v:
Methodology & Computing in Applied Probability. Jun2022, Vol. 24 Issue 2, p749-788. 40p.
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 February 2016 434(1):413-431