We extend the method of Esscher transforms to changing probability measures in a certain
class of stochastic processes that model security prices. According to the Fundamental …

Consider an American option that provides the amount if it is exercised at time t, t≥ 0. For
simplicity of language, we interpret S1 (t) and S 2 (t) as the prices of two stocks. The option …

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 …

We present closed-form solutions to some discounted optimal stopping problems for the
running maximum of a geometric Brownian motion with payoffs switching according to the …

Over sixty years ago, the Swedish actuary F. Esscher suggested that the Edgeworth
approximation (a refinement of the normal approximation) yields better results, if it is applied …

We present analytic solutions to some optimal stopping problems for the running minimum of
a geometric Brownian motion with exponential positive discounting rates. The proof is based …

Closed solutions to the problem of pricing a Russian option when the underlying process is
a diffusion with negative jumps are obtained. More precisely, the underlying process is …

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 …

We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, DO,
Mordecki, E., 1994. Integral opton. Theory of Probabability and its Applications 39 (1), 201 …

The Russian option is a lookback option which pays the maximum-to-date of the underlying,
subject to some discounting factor. In this thesis we examine the properties of the value …