Perpetual American double lookback options on drawdowns and drawups with floating strikes

DOI10.1007/S11009-021-09917-YzbMath1489.91259OpenAlexW4280529028MaRDI QIDQ2152239

Pavel V. Gapeev

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09917-y

zbMATH Keywords

first passage timegeometric Brownian motionfree-boundary problemnormal reflectionrunning maximum and minimum processesa change-of-variable formula with local time on surfacesinstantaneous stopping and smooth fitmaximum drawdown and maximum drawupoptimal double stopping problemperpetual American double lookback options

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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