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scientific article; zbMATH DE number 1897422
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scientific article; zbMATH DE number 1897422 |
Statements
27 April 2003
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optimal stopping
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financial mathematics
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0.8948278427124023
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0.8349488973617554
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0.8349488973617554
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0.8046101331710815
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0.7952260971069336
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This paper obtains a solution for the optimal stopping problem of a Lévy process, for certain convex reward functions, extending to that context results of Darling, Ligget and Taylor on random walks. The results are then interpreted in financial terms as pricing results of some options, assuming that the evolution of the underlying model follows a Lévy process and not the usual Brownian framework. For instance, a so-called prophet inequality is interpreted as a result claiming that the price of a perpetual lookback American option is comparable to the price of the corresponding perpetual standard American option. For the entire collection see [Zbl 1007.00020].
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