Perpetual American double lookback options on drawdowns and drawups with floating strikes (Q2152239): Difference between revisions
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Revision as of 06:03, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American double lookback options on drawdowns and drawups with floating strikes |
scientific article |
Statements
Perpetual American double lookback options on drawdowns and drawups with floating strikes (English)
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7 July 2022
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perpetual American double lookback options
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optimal double stopping problem
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geometric Brownian motion
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running maximum and minimum processes
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maximum drawdown and maximum drawup
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first passage time
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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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a change-of-variable formula with local time on surfaces
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