Perpetual American double lookback options on drawdowns and drawups with floating strikes
DOI10.1007/s11009-021-09917-yzbMath1489.91259OpenAlexW4280529028MaRDI QIDQ2152239
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-021-09917-y
first passage timegeometric Brownian motionfree-boundary problemnormal reflectionrunning maximum and minimum processesa change-of-variable formula with local time on surfacesinstantaneous stopping and smooth fitmaximum drawdown and maximum drawupoptimal double stopping problemperpetual American double lookback options
Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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