Optimal stopping problems for maxima and minima in models with asymmetric information (Q5080073)
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scientific article; zbMATH DE number 7533902
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| English | Optimal stopping problems for maxima and minima in models with asymmetric information |
scientific article; zbMATH DE number 7533902 |
Statements
Optimal stopping problems for maxima and minima in models with asymmetric information (English)
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31 May 2022
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optimal stopping problem
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Brownian motion
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last hitting time
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asymmetric information
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first passage time
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running maximum and minimum processes
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stochastic boundary
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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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a change-of-variable formula with local time on surfaces
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perpetual American standard and lookback options
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0.90558285
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0.89340883
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0.8822379
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0.87798107
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0.87205166
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0.8678578
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0.8658655
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0.86344296
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0.86155045
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