Stopping Times Occurring Simultaneously
Fuente:
arXiv
Saved in:
| Main Authors: | Protter, Philip, Quintos, Alejandra |
|---|---|
| Format: | Preprint |
| Published: |
2021
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Dependent Default Modeling through Multivariate Generalized Cox Processes
by: Gueye, Djibril, et al.
Published: (2025)
by: Gueye, Djibril, et al.
Published: (2025)
Filtering in a hazard rate change-point model with financial and life-insurance applications
by: Buttarazzi, Matteo, et al.
Published: (2025)
by: Buttarazzi, Matteo, et al.
Published: (2025)
Model-independent upper bounds for the prices of Bermudan options with convex payoffs
by: Hobson, David, et al.
Published: (2025)
by: Hobson, David, et al.
Published: (2025)
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
by: Figueroa-López, José E., et al.
Published: (2025)
by: Figueroa-López, José E., et al.
Published: (2025)
A Monotone Limit Approach to Entropy-Regularized American Options
by: Chee, Daniel, et al.
Published: (2026)
by: Chee, Daniel, et al.
Published: (2026)
Explicit Asymptotics on First Passage Times of Diffusion Processes
by: Dassios, Angelos, et al.
Published: (2018)
by: Dassios, Angelos, et al.
Published: (2018)
Martingale theory for Dynkin games with asymmetric information
by: De Angelis, Tiziano, et al.
Published: (2025)
by: De Angelis, Tiziano, et al.
Published: (2025)
Occupied Processes: Going with the Flow
by: Tissot-Daguette, Valentin
Published: (2023)
by: Tissot-Daguette, Valentin
Published: (2023)
Pricing American options under rough volatility using deep-signatures and signature-kernels
by: Bayer, Christian, et al.
Published: (2025)
by: Bayer, Christian, et al.
Published: (2025)
Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)
by: Tissot-Daguette, Valentin
Published: (2026)
Robust Hedging of American Options via Aggregated Snell Envelopes
by: Rodrigues, Marco
Published: (2025)
by: Rodrigues, Marco
Published: (2025)
Optimal stopping of Gauss-Markov bridges
by: Azze, Abel, et al.
Published: (2022)
by: Azze, Abel, et al.
Published: (2022)
Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)
by: Karmi, Sohaib El
Published: (2026)
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
by: Andersson, Kristoffer, et al.
Published: (2025)
by: Andersson, Kristoffer, et al.
Published: (2025)
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
by: Pra, Paolo Dai, et al.
Published: (2025)
by: Pra, Paolo Dai, et al.
Published: (2025)
A Mean Field Game of Sequential Testing
by: Campbell, Steven, et al.
Published: (2024)
by: Campbell, Steven, et al.
Published: (2024)
Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)
by: Ding, Yining, et al.
Published: (2024)
Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)
by: Ding, Yining, et al.
Published: (2026)
The Support and Resistance Line Method: An Analysis via Optimal Stopping
by: Henderson, Vicky, et al.
Published: (2021)
by: Henderson, Vicky, et al.
Published: (2021)
A Computational Framework for Financial Structures
by: Scala, Antonio
Published: (2026)
by: Scala, Antonio
Published: (2026)
Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)
by: Alaya, Mohamed Ben, et al.
Published: (2024)
Stopping Times of Boundaries: Relaxation and Continuity
by: Soner, H. Mete, et al.
Published: (2023)
by: Soner, H. Mete, et al.
Published: (2023)
On the integrability of the supremum of stochastic volatility models and other martingales
by: Gerhold, Stefan, et al.
Published: (2024)
by: Gerhold, Stefan, et al.
Published: (2024)
Perpetual American Standard and Lookback Options in Insider Models with Progressively Enlarged Filtrations
by: Gapeev, Pavel V., et al.
Published: (2025)
by: Gapeev, Pavel V., et al.
Published: (2025)
Pricing VIX options under the Heston-Hawkes stochastic volatility model
by: Font, Oriol Zamora
Published: (2024)
by: Font, Oriol Zamora
Published: (2024)
Time evaluation of portfolio for asymmetrically informed traders
by: D'Auria, Bernardo, et al.
Published: (2024)
by: D'Auria, Bernardo, et al.
Published: (2024)
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
by: Azze, Abel, et al.
Published: (2022)
by: Azze, Abel, et al.
Published: (2022)
Rough PDEs for local stochastic volatility models
by: Bank, Peter, et al.
Published: (2023)
by: Bank, Peter, et al.
Published: (2023)
Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)
by: Anagnostakis, Alexis
Published: (2023)
Entropy-regularized penalization schemes and reflected BSDEs with singular generators
by: Chee, Daniel, et al.
Published: (2026)
by: Chee, Daniel, et al.
Published: (2026)
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
by: Backhoff, Julio, et al.
Published: (2024)
by: Backhoff, Julio, et al.
Published: (2024)
Bridging classical and martingale Schrödinger bridges
by: Backhoff, Julio, et al.
Published: (2026)
by: Backhoff, Julio, et al.
Published: (2026)
Dynkin Games for Lévy Processes
by: Aspirot, Laura, et al.
Published: (2024)
by: Aspirot, Laura, et al.
Published: (2024)
Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)
Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
by: Yoshida, Naohiro
Published: (2026)
by: Yoshida, Naohiro
Published: (2026)
A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)
by: Alfonsi, Aurélien, et al.
Published: (2024)
A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)
by: Muhle-Karbe, Johannes, et al.
Published: (2026)
The Last-Success Stopping Problem with Random Observation Times
by: Gnedin, Alexander, et al.
Published: (2022)
by: Gnedin, Alexander, et al.
Published: (2022)
Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)
by: Criens, David, et al.
Published: (2022)
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)
by: Alòs, Elisa, et al.
Published: (2025)
Similar Items
-
Dependent Default Modeling through Multivariate Generalized Cox Processes
by: Gueye, Djibril, et al.
Published: (2025) -
Filtering in a hazard rate change-point model with financial and life-insurance applications
by: Buttarazzi, Matteo, et al.
Published: (2025) -
Model-independent upper bounds for the prices of Bermudan options with convex payoffs
by: Hobson, David, et al.
Published: (2025) -
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
by: Figueroa-López, José E., et al.
Published: (2025) -
A Monotone Limit Approach to Entropy-Regularized American Options
by: Chee, Daniel, et al.
Published: (2026)