papers
Publications (5)
math.PR2016
Watermark Options
Neofytos Rodosthenous, Mihail Zervos
math.ST2015
Robustness of the ${N}$-CUSUM stopping rule in a Wiener disorder problem
Hongzhong Zhang, Neofytos Rodosthenous, Olympia Hadjiliadis
q-fin.MF2017
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy Models
Neofytos Rodosthenous, Hongzhong Zhang
math.PR2014
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
math.PR2016
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous