Bounds for expected payoff on two stocks

DOI10.14708/ma.v48i1.6511zbMath1499.60131OpenAlexW3101502803MaRDI QIDQ5062342

Cloud Makasu

Publication date: 15 March 2022

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v48i1.6511

zbMATH Keywords

optimal stopping problemstock price processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Cites Work

• Unnamed Item
• On optimal timing of investment when cost components are additive and follow geometric diffusions
• Optimal time to invest when the price processes are geometric Brownian motions
• Stochastic differential equations. An introduction with applications.

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