Discounted optimal stopping problems in first-passage time models with random thresholds (Q5868524)
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scientific article; zbMATH DE number 7589155
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| English | Discounted optimal stopping problems in first-passage time models with random thresholds |
scientific article; zbMATH DE number 7589155 |
Statements
Discounted optimal stopping problems in first-passage time models with random thresholds (English)
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21 September 2022
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discounted optimal stopping problem
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geometric Brownian motion
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first passage times
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running maximum and minimum processes
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free-boundary problem
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smooth fit and normal reflection
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a change-of-variable formula with local time on surfaces
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perpetual American options
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random dividends
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0.8294349312782288
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0.8244557976722717
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0.8220176696777344
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0.8196601867675781
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0.811748743057251
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