Optimal stopping of a killed exponentially growing process

DOI10.1016/J.AMC.2019.02.006MaRDI QIDQ2010740zbMATH OpenOpenAlexFDO

Authors F. Armerin

Publication date 27 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://kth.diva-portal.org/smash/resultList.jsf?dswid=-4951&language=sv&searchType=SIMPLE&query=Optimal+Stopping+of+a+Killed+Exponentially+Growing+Process&af=%5B%5D&aq=%5B%5B%5D%5D&aq2=%5B%5B%5D%5D&aqe=%5B%5D&noOfRows=50&sortOrder=author_sort_asc&sortOrder2=title_sort_asc&onlyFullText=false&sf=all

zbMATH Keywords

American optionoptimal stoppingPoisson process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A stochastic control framework for real options in strategic evaluation
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• Mathematical methods for financial markets.
• Point processes and queues. Martingale dynamics
• Stochastic integration and differential equations

Cited in

(3)

• scientific article; zbMATH DE number 5777952 (Why is no real title available?)
• Perpetual cancellable American options with convertible features
• The integral option in a model with jumps

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