Optimal double stopping problems for maxima and minima of geometric Brownian motions
DOI10.1007/S11009-022-09959-WzbMATH Open1490.60097OpenAlexW4280631512MaRDI QIDQ2152240FDOQ2152240
Jacco J. J. Thijssen, Pavel Gapeev, Maria N. Lavrutich, Peter M. Kort
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
first hitting timefree-boundary problemgeometric Brownian motionnormal reflectiondouble optimal stopping probleminstantaneous stoppingblack-Merton-Scholes modellocal time on surfacesperpetual real double lookback options
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (4)
- Optimal doubling points for Brownian motion with drift
- Optimal stopping problems for running minima with positive discounting rates
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
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