The so‐called American strangle options are examined in this paper. Their main
characteristic is the combined put and call feature. The holder has the right to exercise …

We consider the one-dimensional diffusion X that satisfies the stochastic differential
equation dX_t= b (X_t)\, dt+ σ (X_t)\, dW_t in the interior int(I)=α,β of a given interval I⊆-∞,∞ …

In this paper, we show that the double optimal stop** boundaries for American strangle
options with finite horizon can be characterized as the unique pair of solution to a system of …

We present solutions to some discounted nonzero-sum optimal stop** games of two
players related to the perpetual game-type contingent claims with payoffs representing …

We present closed-form solutions to the problems of pricing of the perpetual American
double lookback put and call options on the maximum drawdown and the maximum drawup …

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 traditional difficulty with stochastic singular control is characterizing the regularities of
the value function and the optimal control policy. In this paper, a multidimensional singular …

We present explicit solutions to the perpetual American compound option pricing problems
in the Black-Merton-Scholes model. The method of proof is based on the reduction of the …

We investigate the impact of Knightian uncertainty on the optimal timing policy of an
ambiguity-averse decision-maker in the case where the underlying factor dynamics follow a …

We obtain closed-form solutions to the problems of pricing of perpetual American put and
call barrier options in the one-dimensional Black–Merton–Scholes model from the point of …