Optimal Stopping for Partial Sums

Cited in

(27)

Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
On infinite horizon optimal stopping of general random walk
Some remarks on first passage of Lévy processes, the American put and pasting principles
Russian and American put options under exponential phase-type Lévy models.
Optimal stopping for Lévy processes with one-sided solutions
Optimal stopping time problem for random walks with polynomial reward functions
Convergence of exit times for diffusion processes
An effective method for the explicit solution of sequential problems on the real line
Optimal stopping rules for American and Russian options in a correlated random walk model
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
Optimal Stopping for Processes with Independent Increments, and Applications
Optimal stopping of Hunt and Lévy processes
An approach for solving perpetual optimal stopping problems driven by Lévy processes
On a solution of the optimal stopping problem for processes with independent increments
On a problem of optimal stopping in mathematical finance
Expectation inequalities associated with prophet problems¹
Some time-invariant stopping rule problems
Optimal stopping rules for correlated random walks with a discount
A general method for finding the optimal threshold in discrete time
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
One-sided solutions for optimal stopping problems with logconcave reward functions
Double continuation regions for American options under Poisson exercise opportunities
A note on one-sided solutions for optimal stopping problems driven by Lévy processes
American options: the EPV pricing model
Dynkin games for Lévy processes
Variability is beneficial in marked stopping problems

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