Discounted optimal stopping problems in first-passage time models with random thresholds
From MaRDI portal
Recommendations
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Optimal stopping problems in diffusion-type models with running maxima and drawdowns
- On the structure of discounted optimal stopping problems for one-dimensional diffusions
- Optimal stopping problems for running minima with positive discounting rates
Cites work
- \(\pi \) options
- A capped optimal stopping problem for the maximum process
- A Change-of-Variable Formula with Local Time on Surfaces
- American-style derivatives. Valuation and computation.
- Backward stochastic differential equations with reflection and Dynkin games
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Discounted optimal stopping problems for the maximum process
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Further calculations for Israeli options
- Game options
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 1227086 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 482632 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 2144815 (Why is no real title available?)
- scientific article; zbMATH DE number 796441 (Why is no real title available?)
- scientific article; zbMATH DE number 972637 (Why is no real title available?)
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- On the value of optimal stopping games
- Optimal detection of a hidden target: the median rule
- Optimal stopping and maximal inequalities for geometric Brownian motion
- Optimal stopping of the maximum process: The maximality principle
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Optimal stopping problems for the maximum process with upper and lower caps
- Optimal stopping problems in diffusion-type models with running maxima and drawdowns
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Pricing derivatives of American and game type in incomplete markets
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Quickest detection of a hidden target and extremal surfaces
- Russian and American put options under exponential phase-type Lévy models.
- Some calculations for Israeli options
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
- The McKean stochastic game driven by a spectrally negative Lévy process
- The Russian option: Reduced regret
- The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process
- Three-dimensional Brownian motion and the golden ratio rule
- Watermark options
Cited in
(12)- Optimal stopping problems for running minima with positive discounting rates
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Discounted optimal stopping problems for the maximum process
- On the structure of discounted optimal stopping problems for one-dimensional diffusions
- Optimal stopping games in models with various information flows
- A Time-dependent Stopping Problem with Application to Live Organ Transplants
- Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Discounted optimal stopping problems in continuous hidden Markov models
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- Pricing time-capped American options stopped by a first passage time
- Perpetual American compound lookback and integral options with floating strikes
This page was built for publication: Discounted optimal stopping problems in first-passage time models with random thresholds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5868524)
