Monotonicity of the value function for a two-dimensional optimal stopping problem

DOI10.1214/13-AAP956zbMath1316.60056arXiv1208.3126OpenAlexW3100336036MaRDI QIDQ2511558

Adriana Ocejo, Sigurd Assing, S. D. Jacka

Publication date: 6 August 2014

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

Full work available at URL: https://arxiv.org/abs/1208.3126

zbMATH Keywords

optimal stoppingAmerican optionscouplingstochastic volatility modeltime-change

Mathematics Subject Classification ID

Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Markov and semi-Markov decision processes (90C40) Optimal stopping in statistics (62L15)

Related Items (6)

Parallel search for information in continuous time -- optimal stopping and geometry of the PDE ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ Uncertainty Quantification of Derivative Instruments ⋮ On the regularity of American options with regime-switching uncertainty ⋮ On some functionals of the first passage times in jump models of stochastic volatility

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• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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