Stopping at the maximum of geometric Brownian motion when signals are received (Q3367751)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stopping at the maximum of geometric Brownian motion when signals are received |
scientific article |
Statements
Stopping at the maximum of geometric Brownian motion when signals are received (English)
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26 January 2006
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optimal stopping problem
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smooth fit
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variational inequality
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look-back option pricing
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Poisson process
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