Abstract Let X=(X_t)_t\ge0 be a transient diffusion process in (0,∞) with the diffusion
coefficient σ>0 and the scale function L such that X_t→∞ as t→∞, let I_t denote its running …

In this paper we present closed form solutions of some discounted optimal stopping
problems for the maximum process in a model driven by a Brownian motion and a …

Abstract Let Z=(Z_t)_t\ge0 be a regular diffusion process started at 0, let ℓ be an
independent random variable with a strictly increasing and continuous distribution function …

We derive a general formula for pricing options with barrier and/or lookback features, which
covers several types of options studied in the literature and new types of options, and …

In this paper, we propose a semi-analytical approach to pricing options on SOFR futures
where the underlying SOFR follows a time-dependent CEV model. By definition, these …

Following the economic rationale of the British put and call option, we present a new class of
lookback options (by first studying the canonical 'Russian'variant) where the holder enjoys …

Let X be a one-dimensional diffusion and let g be a real-valued function depending on time
and the value of X. This article analyzes the inverse optimal stopping problem of finding a …

The lookback option with fixed strike in the case of finite horizon was examined with help of
the solution to the optimal stopping problem for a three-dimensional Markov process in [P …

We apply the change‐of‐measure arguments of Shepp and Shiryaev (Theory of Probability
and its Applications, 1994, 39, 103–119) to study the dual Russian option pricing problem …

The goal of this thesis is to uncover interesting structures occurring in the intersection of
three distinct fields: stochastic control theory, branching diffusion processes, and McKean …