Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. - Vicky Henderson; Kamil Kladívko; Michael Monoyios; Christoph Reisinger (SIAM J. Financial Math., 2020)

A discrete-time model that weakly converges to a continuous-time geometric Brownian motion with Markov switching drift rate. - Vitaliy Golomoziy; Yuliya Mishura; Kamil Kladívko (Frontiers Appl. Math. Stat., 2024)