Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information (Q5097216): Difference between revisions
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scientific article; zbMATH DE number 7574017
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information |
scientific article; zbMATH DE number 7574017 |
Statements
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information (English)
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22 August 2022
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perpetual American standard and lookback options
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optimal stopping problem
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Brownian motion
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first passage time
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last hitting time
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running maximum and minimum processes
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stochastic boundary
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free-boundary problem
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instantaneous stopping and smooth fit
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normal reflection
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change-of-variable formula with local time on surfaces
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