Discounted optimal stopping problems for the maximum process (Q2725294): Difference between revisions
From MaRDI portal
Set profile property. |
Normalize DOI. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1239/jap/1014843077 / rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1994585976 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1239/JAP/1014843077 / rank | |||
Normal rank | |||
Latest revision as of 21:22, 19 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discounted optimal stopping problems for the maximum process |
scientific article |
Statements
Discounted optimal stopping problems for the maximum process (English)
0 references
12 July 2001
0 references
geometric Brownian motion
0 references
diffusion
0 references
maximality principle
0 references
free boundary problem
0 references
principle of smooth fit
0 references
infinitesimal operator
0 references
reflected Brownian motion
0 references
Bessel process
0 references
lookback option
0 references
Black-Scholes model
0 references
value function
0 references
