Optimal double stopping problems for maxima and minima of geometric Brownian motions

DOI10.1007/S11009-022-09959-WzbMath1490.60097OpenAlexW4280631512MaRDI QIDQ2152240

Peter M. Kort, Jacco J. J. Thijssen, Pavel V. Gapeev, Maria N. Lavrutich

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/s11009-022-09959-w

zbMATH Keywords

geometric Brownian motionfree-boundary problemfirst hitting timenormal reflectioninstantaneous stoppingdouble optimal stopping problemblack-Merton-Scholes modellocal time on surfacesperpetual real double lookback options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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