Optimal stopping problems for the maximum process with upper and lower caps

DOI10.1214/12-AAP903zbMath1290.60048arXiv1107.0233MaRDI QIDQ389066

Curdin Ott

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0233

zbMATH Keywords

optimal stopping problemrunning maximumlower capsspectrally negative Lévy processupper caps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Perpetual American options in diffusion-type models with running maxima and drawdowns, An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem, An optimal stopping problem for spectrally negative Markov additive processes, Perpetual American double lookback options on drawdowns and drawups with floating strikes, Optimal double stopping problems for maxima and minima of geometric Brownian motions, Optimal stopping problems for maxima and minima in models with asymmetric information, A direct solution method for pricing options involving the maximum process, Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information, Double continuation regions for American options under Poisson exercise opportunities, Inventory Control for Spectrally Positive Lévy Demand Processes, Optimal stopping problems for running minima with positive discounting rates, Watermark options, Bottleneck options, Discounted optimal stopping problems in first-passage time models with random thresholds, Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs

Uses Software

• Mittag-Leffler
• mlf

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing contingent claims on stocks driven by Lévy processes
• Optimal stopping of the maximum process: The maximality principle
• The Russian option: Reduced regret
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Sequential testing problems for Poisson processes.
• Introductory lectures on fluctuations of Lévy processes with applications.
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
• Stochastic Integration with Jumps