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1. An optimal stopping problem for spectrally negative Markov additive processes. (2022). Alar, M ; Vardar-Acar, C ; Kyprianou, A.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:150:y:2022:i:c:p:1109-1138.

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2. When to sell an asset amid anxiety about drawdowns. (2020). Rodosthenous, Neofytos ; Zhang, Hongzhong.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:30:y:2020:i:4:p:1422-1460.

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3. When to sell an asset amid anxiety about drawdowns. (2020). Rodosthenous, Neofytos ; Zhang, Hongzhong.
   In: Papers.
   RePEc:arx:papers:2006.00282.

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4. Double continuation regions for American options under Poisson exercise opportunities. (2020). Palmowski, Zbigniew ; Yamazaki, Kazutoshi ; Jos'e Luis P'erez, .
   In: Papers.
   RePEc:arx:papers:2004.03330.

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5. Optimally stopping at a given distance from the ultimate supremum of a spectrally negative L\evy process. (2020). Carvajal, M'Onica B ; van Schaik, Kees.
   In: Papers.
   RePEc:arx:papers:1904.11911.

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6. On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models. (2019). Long, Mingsi ; Zhang, Hongzhong.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:129:y:2019:i:8:p:2821-2849.

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7. Time-varying ambiguity, credit spreads, and the levered equity premium. (2019). Shi, Zhan.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:134:y:2019:i:3:p:617-646.

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8. Investment Decisions with Two-Factor Uncertainty. (2018). Kort, Peter ; Compernolle, T ; Lavrutich, Maria ; Huisman, Kuno ; Nunes, Claudia ; Thijssen, J. J. J., .
   In: Other publications TiSEM.
   RePEc:tiu:tiutis:9e05d125-86f6-4549-9d49-9b73bcdae3fd.

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9. Investment Decisions with Two-Factor Uncertainty. (2018). Kort, Peter ; Huisman, Kuno ; Lavrutich, Maria ; Nunes, Claudia ; Thijssen, J. J. J., ; Compernolle, T.
   In: Discussion Paper.
   RePEc:tiu:tiucen:9e05d125-86f6-4549-9d49-9b73bcdae3fd.

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10. American options under periodic exercise opportunities. (2018). Yamazaki, Kazutoshi ; Perez, Jose-Luis.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:135:y:2018:i:c:p:92-101.

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11. Occupation Times of General Lévy Processes. (2017). Yu, Shuang ; Wu, Lan ; Zhou, Jiang.
    In: Journal of Theoretical Probability.
    RePEc:spr:jotpro:v:30:y:2017:i:4:d:10.1007_s10959-016-0690-8.

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12. Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model. (2017). Leippold, Markus ; Vasiljevi, Nikola.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:77:y:2017:i:c:p:78-94.

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13. Analytical solution for an investment problem under uncertainties with shocks. (2017). Pimentel, Rita ; Nunes, Claudia.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:259:y:2017:i:3:p:1054-1063.

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14. Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\evy Models. (2017). Rodosthenous, Neofytos ; Zhang, Hongzhong.
    In: Papers.
    RePEc:arx:papers:1706.03724.

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15. On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation. (2016). Chi, Zhiyi.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:4:p:1124-1144.

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16. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. (2016). Salminen, Paavo ; Ferrari, Giorgio.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:530.

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17. Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. (2015). Linetsky, Vadim.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:4:p:941-977.

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18. A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes. (2015). van Schaik, Kees ; Kleinert, Florian.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:8:p:3234-3254.

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19. Games of singular control and stopping driven by spectrally one-sided Lévy processes. (2015). Yamazaki, Kazutoshi ; Hernandez-Hernandez, Daniel.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:1:p:1-38.

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20. Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. (2015). Leippold, Markus ; Vasiljevic, Nikola.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1508.

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21. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Yamazaki, Kazutoshi ; Zhang, Hongzhong.
    In: Papers.
    RePEc:arx:papers:1505.07705.

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22. Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time. (2014). Stockbridge, R..
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:77:y:2014:i:1:p:137-162.

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23. Bottleneck options. (2014). Ott, Curdin .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:4:p:845-872.

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24. Irreversible Investment under L\evy Uncertainty: an Equation for the Optimal Boundary. (2014). Salminen, Paavo ; Ferrari, Giorgio.
    In: Papers.
    RePEc:arx:papers:1411.2395.

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25. The first passage time problem for mixed-exponential jump processes with applications in insurance and finance. (2014). Wen, Yuzhen ; Shen, Ying ; Yin, Chuancun.
    In: Papers.
    RePEc:arx:papers:1302.6762.

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26. First passage times for subordinate Brownian motions. (2013). Ryznar, Micha ; Kwanicki, Mateusz ; Maecki, Jacek.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:5:p:1820-1850.

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27. Optimal stopping of strong Markov processes. (2013). Christensen, Soren ; Salminen, Paavo ; Ta, Bao Quoc.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:3:p:1138-1159.

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28. Default swap games driven by spectrally negative Lévy processes. (2013). Leung, Tim ; Egami, Masahiko ; Yamazaki, Kazutoshi.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:2:p:347-384.

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29. Breakdowns. (2013). Rady, Sven ; Keller, R.
    In: Levine's Working Paper Archive.
    RePEc:cla:levarc:786969000000000635.

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30. Perpetual American options in a diffusion model with piecewise-linear coefficients. (2013). Neofytos, Rodosthenous ; Pavel, Gapeev.
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:30:y:2013:i:1:p:1-21:n:4.

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31. A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions. (2013). Alvarez, Luis ; Rakkolainen, Teppo A. ; Matomaki, Pekka ; Luis H. R. Alvarez E., .
    In: Papers.
    RePEc:arx:papers:1302.4181.

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32. Breakdowns. (2012). Rady, Sven ; Keller, R.
    In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
    RePEc:trf:wpaper:396.

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33. Optimal Capital Structure with Endogenous Default and Volatility Risk. (2012). Barsotti, Flavia.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2012-02.

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34. Lévy risk model with two-sided jumps and a barrier dividend strategy. (2012). YANG, Xuewei ; Bo, Lijun ; Wang, Yongjin ; Song, Renming ; Tang, Dan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:2:p:280-291.

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35. Default Swap Games Driven by Spectrally Negative Levy Processes. (2012). Leung, Tim ; Tim S. T. Leung, ; Egami, Masahiko ; Yamazaki, Kazutoshi.
    In: Papers.
    RePEc:arx:papers:1105.0238.

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36. American Step-Up and Step-Down Default Swaps under Levy Models. (2012). Leung, Tim ; Yamazaki, Kazutoshi.
    In: Papers.
    RePEc:arx:papers:1012.3234.

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37. Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions. (2010). Egami, Masahiko ; Yamazaki, Kazutoshi.
    In: Discussion papers.
    RePEc:kue:dpaper:e-10-011.

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38. Nonparametric tests for pathwise properties of semimartingales. (2010). Cont, Rama ; Mancini, Cecilia.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2010-02.

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39. Pricing American options under stochastic volatility and stochastic interest rates. (2010). Scaillet, Olivier ; Medvedev, Alexey.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:145-159.

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40. A note on pasting conditions for the American perpetual optimal stopping problem. (2009). Christensen, Soren ; Irle, Albrecht.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:3:p:349-353.

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41. On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps. (2009). Bayraktar, Erhan.
    In: Papers.
    RePEc:arx:papers:math/0703538.

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42. On infinite horizon optimal stopping of general random walk. (2008). Lempa, Jukka.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:67:y:2008:i:2:p:257-268.

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43. The integral option in a model with jumps. (2008). Gapeev, Pavel V..
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:16:p:2623-2631.

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44. Exit problems in regime-switching models. (2008). Boyarchenko, Svetlana ; Levendorskii, Sergei.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:180-206.

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45. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions. (2008). Bayraktar, Erhan.
    In: Papers.
    RePEc:arx:papers:math/0703782.

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46. Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. (2008). el Karoui, Nicole ; Meziou, Asma.
    In: Papers.
    RePEc:arx:papers:0804.2561.

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47. A New Approach to the Irreversible Investment Problem. (2006). Su, Xia.
    In: Bonn Econ Discussion Papers.
    RePEc:zbw:bonedp:212006.

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48. A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions. (2006). Alvarez, Luis ; Rakkolainen, Teppo A. ; Luis H. R. Alvarez, .
    In: Discussion Papers.
    RePEc:tkk:dpaper:dp9.

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49. Perpetual Barrier Options in Jump-Diffusion Models. (2006). Gapeev, Pavel V..
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-058.

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50. Sequential testing of simple hypotheses about compound Poisson processes. (2006). Sezer, Semih O. ; Dayanik, Savas.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:116:y:2006:i:12:p:1892-1919.

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