Erik Ekström

Optimal Stopping Games for Markov Processes

Let

Bubbles, convexity and the Black–Scholes equation

X=(X_t)_{t \ge 0}

On the value of optimal stopping games

be a strong Markov process, and let

Properties of game options

G_1,\, G_2

Boundary conditions for the single-factor term structure equation

, and

Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

G_3

PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS

be continuous functions satisfying

Optimal Selling of an Asset under Incomplete Information

G_1 \le G_3 \le G_2

Optimal Liquidation of a Pairs Trade

and

Recovering a time-homogeneous stock price process from perpetual option prices

\mathsf{E}_x\sup_t \vert G_i(X_t) \vert < \infty