Optimal stopping problems for asset management

DOI10.1239/AAP/1346955259MaRDI QIDQ3167333zbMATH OpenOpenAlexFDO

Authors Savas Dayanik, Masahiko Egami

Publication date 2 November 2012

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1346955259

zbMATH Keywords

asset managementjump diffusionoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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Cites work

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Cited in

(7)

• Valuation of game options in jump-diffusion model and with applications to convertible bonds
• The optimal stopping problem revisited
• Portfolio problems stopping at first hitting time with application to default risk
• Optimal exit strategies for investment projects
• Optimal stopping and dynamic allocation
• Enhanced equity-credit modelling for contingent convertibles
• CPDO with finite termination: maximal return under cash-in and cash-out conditions

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