Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Pavel V. Gapeev

Perpetual Barrier Options in Jump-Diffusion Models

English

Related publications

Bounds for Perpetual American Option Prices in a Jump Diffusion Model

Journal of Applied Probability

English

Estimating Jump Diffusion Structural Credit Risk Models

SSRN Electronic Journal

English

Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

Journal of Applied Probability

English

Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models With Fractional Brownian Motion and Stochastic Rate

Applied Mathematics

English

Stochastic Target Problems With Controlled Loss in Jump Diffusion Models

SIAM Journal on Control and Optimization

Applied Mathematics

English

Volatility and Dividend Risk in Perpetual American Options

SSRN Electronic Journal

English

Pricing a Class of Exotic Commodity Options in a Multi-Factor Jump-Diffusion Model

Quantitative Finance

English

Martingale Approach to Pricing Perpetual American Options

English

American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models

Proceedings of the American Control Conference

Electronic Engineering

English