Some calculations for Israeli options

Appendix : A free boundary problem for the heat equation arising from a problem in mathematical economics

H. P. Jr. Mackean · Medical Entomology and Zoology · 1965 · 480 citations

Engineering, Economics, Heat Transfer +12

Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

Florin Avram, Andreas E. Kyprianou, Martijn Pistorius · The Annals of Applied Probability · 2004 · 287 citations · Full text

Engineering, Finance, Financial Economics +16

The Russian Option: Reduced Regret

L. A. Shepp, Albert N. Shiryaev · The Annals of Applied Probability · 1993 · 242 citations

Business, Economics, Finance +17

A New Look at Pricing of the ”Russian Option“

L. A. Shepp, Albert N. Shiryaev · Theory of Probability and Its Applications · 1995 · 127 citations · Full text

Business, Finance, Mathematics +12

Perpetual options and Canadization through fluctuation theory

Andreas E. Kyprianou, Martijn Pistorius · The Annals of Applied Probability · 2003 · 99 citations · Full text

Business, Finance, Mathematics +17