Perpetual American double lookback options on drawdowns and drawups with floating strikes (Q2152239)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American double lookback options on drawdowns and drawups with floating strikes |
scientific article |
Statements
Perpetual American double lookback options on drawdowns and drawups with floating strikes (English)
0 references
7 July 2022
0 references
perpetual American double lookback options
0 references
optimal double stopping problem
0 references
geometric Brownian motion
0 references
running maximum and minimum processes
0 references
maximum drawdown and maximum drawup
0 references
first passage time
0 references
free-boundary problem
0 references
instantaneous stopping and smooth fit
0 references
normal reflection
0 references
a change-of-variable formula with local time on surfaces
0 references
0 references
0 references
0 references
0 references
