Optimal stopping problems for maxima and minima in models with asymmetric information (Q5080073): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 19:42, 5 March 2024
scientific article; zbMATH DE number 7533902
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal stopping problems for maxima and minima in models with asymmetric information |
scientific article; zbMATH DE number 7533902 |
Statements
Optimal stopping problems for maxima and minima in models with asymmetric information (English)
0 references
31 May 2022
0 references
optimal stopping problem
0 references
Brownian motion
0 references
last hitting time
0 references
asymmetric information
0 references
first passage time
0 references
running maximum and minimum processes
0 references
stochastic boundary
0 references
free-boundary problem
0 references
instantaneous stopping and smooth fit
0 references
normal reflection
0 references
a change-of-variable formula with local time on surfaces
0 references
perpetual American standard and lookback options
0 references