Share  Bookmark

 Download from




[1] BAJEUXBESNAINOU, I. and ROCHET, J.C. (1996). Dynamic spanning: Are options an appropriate instrument? Math. Finance 6 116. MR1368371
[2] COX, J. C., INGERSOLL, J. E. JR. and ROSS, S. A. (1985). A theory of the term structure of interest rates. Econometrica 53 385407. MR0785475
[3] EKSTRÖM, E. (2004). Properties of American option prices. Stochastic Process. Appl. 114 265278. MR2101244
[4] GUO, X. and ZHANG, Q. (2004). Closedform solutions for perpetual American put options with regimeswitching. SIAM J. Appl. Math. 64 20342049. MR2110348
[5] HESTON, S. (1993). A closedform solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6 326343.
[6] HOBSON, D. (2010). Comparison results for stochastic volatility models via coupling. Finance Stoch. 14 129152. MR2563207
[7] HULL, J. and WHITE, A. (1987). The pricing of options on assets with stochastic volatilities. J. Finance 42 281300.
[8] IKEDA, N. and WATANABE, S. (1989). Stochastic Differential Equations and Diffusion Processes, 2nd ed. NorthHolland Mathematical Library 24. NorthHolland, Amsterdam. MR1011252
[9] JOBERT, A. and ROGERS, L. C. G. (2006). Option pricing with Markovmodulated dynamics. SIAM J. Control Optim. 44 20632078. MR2248175
[10] PESKIR, G. and SHIRYAEV, A. (2006). Optimal Stopping and FreeBoundary Problems. Birkhäuser, Basel. MR2256030