Optimal stopping of a killed exponentially growing process

DOI10.1016/J.AMC.2019.02.006zbMATH Open1428.60058OpenAlexW2908260779MaRDI QIDQ2010740FDOQ2010740

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

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zbMATH Keywords

Poisson processAmerican optionoptimal stopping

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Mathematical methods for financial markets.
• Title not available (Why is that?)
• Point processes and queues. Martingale dynamics
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Cited In (3)

• Perpetual cancellable American options with convertible features
• The integral option in a model with jumps
• Title not available (Why is that?)

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