Optimal double stopping problems for maxima and minima of geometric Brownian motions
DOI10.1007/s11009-022-09959-wzbMath1490.60097OpenAlexW4280631512MaRDI QIDQ2152240
Peter M. Kort, Jacco J. J. Thijssen, Pavel V. Gapeev, Maria N. Lavrutich
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/s11009-022-09959-w
geometric Brownian motionfree-boundary problemfirst hitting timenormal reflectioninstantaneous stoppingdouble optimal stopping problemblack-Merton-Scholes modellocal time on surfacesperpetual real double lookback options
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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