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- Ernesto Mordecki
- Finance and Stochastics
- 2002

Consider a model of a financial market with a stock driven by a Lévy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall… (More)

We give the closed form of the ruin probability for a Lévy processes, possibly killed at a constant rate, with completely arbitrary positive distributed jumps, and finite intensity negative jumps… (More)

The aim of this paper is to introduce the notion of symmetry in a Lévy market. This notion appears as a particular case of a general known relation between prices of put and call options, of both the… (More)

- Ernesto Mordecki
- 2004

1.1 Let X = {Xt}t≥0 be a real valued stochastic process defined on a stochastic basis (Ω,F ,F = (Ft)t≥0, P ) that satisfies the usual conditions. Assume that X is càdlàg, adapted, X0 = 0, and for 0 ≤… (More)

The optimal stopping problem for a Hunt processes on R is considered via the representation theory of excessive functions. In particular, we focus on in nite horizon (or perpetual) problems with… (More)

- Ernesto Mordecki
- Finance and Stochastics
- 1999

In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as… (More)

The problem of reaching a consensus in a group of autonomous agents has been the object of study in a number of situations ranging from linguistics [11, 18, 20] to distributed computing [25, 26] and… (More)

- Ernesto Mordecki
- 2000