Neofytos Rodosthenous

Queen Mary, University of London

School of Mathematical Sciences

Mile End Road

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

346

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

On the Pricing of Perpetual American Compound Options

Number of pages: 26 Posted: 30 Oct 2010
Pavel V. Gapeev and Neofytos Rodosthenous
London School of Economics and Queen Mary, University of London
Downloads 267 (126,927)

Abstract:

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Perpetual American compound options, the Black-Merton-Scholes model, geometric Brownian motion, multi-step optimal stopping problem, first hitting time, free-boundary problem, local time-space formula

2.

Perpetual American Options in a Diffusion Model with Piecewise-Linear Coefficients

Number of pages: 18 Posted: 03 Aug 2011
Pavel V. Gapeev and Neofytos Rodosthenous
London School of Economics and Queen Mary, University of London
Downloads 60 (392,146)

Abstract:

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Brownian Motion, discounted optimal stopping problem, diffusion process with piecewise-linear coefficients, first hitting time, free-boundary problem, local time-space formula

3.

Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models

The Annals of Applied Probability, Forthcoming
Number of pages: 35 Posted: 14 Jun 2017
Neofytos Rodosthenous and Hongzhong Zhang
Queen Mary, University of London and Columbia University
Downloads 19 (580,036)
Citation 1

Abstract:

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L'evy process, optimal stopping, Omega clock, occupation times, random discount rate, impatience