Optimal double stopping problems for maxima and minima of geometric Brownian motions (Q2152240)
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scientific article; zbMATH DE number 7554086
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| English | Optimal double stopping problems for maxima and minima of geometric Brownian motions |
scientific article; zbMATH DE number 7554086 |
Statements
Optimal double stopping problems for maxima and minima of geometric Brownian motions (English)
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7 July 2022
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perpetual real double lookback options
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black-Merton-Scholes model
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geometric Brownian motion
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double optimal stopping problem
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first hitting time
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free-boundary problem
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instantaneous stopping
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normal reflection
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local time on surfaces
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