Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs (Q5022285)
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scientific article; zbMATH DE number 7458584
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| English | Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs |
scientific article; zbMATH DE number 7458584 |
Statements
Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs (English)
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18 January 2022
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discounted optimal stopping problem
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geometric Brownian motion
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running maximum process
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continuous-time Markov chain
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free-boundary problem
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instantaneous stopping and smooth fit
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normal reflection
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perpetual American and real options
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change-of-variable formula with local time on surfaces
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0.8862361907958984
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0.8777322769165039
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0.8603495955467224
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0.8517141938209534
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