Optimal double stopping problems for maxima and minima of geometric Brownian motions
From MaRDI portal
Publication:2152240
Recommendations
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Optimal stopping problems for running minima with positive discounting rates
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Optimal double stopping time problem
Cites work
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 482632 (Why is no real title available?)
- scientific article; zbMATH DE number 1057570 (Why is no real title available?)
- scientific article; zbMATH DE number 796441 (Why is no real title available?)
- A Change-of-Variable Formula with Local Time on Surfaces
- A capped optimal stopping problem for the maximum process
- An investment model with entry and exit decisions
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Discounted optimal stopping problems for the maximum process
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- On the pricing of perpetual American compound options
- Optimal detection of a hidden target: the median rule
- Optimal multiple stopping of linear diffusions
- Optimal stopping and maximal inequalities for geometric Brownian motion
- Optimal stopping of the maximum process: The maximality principle
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Optimal stopping problems for running minima with positive discounting rates
- Optimal stopping problems for the maximum process with upper and lower caps
- Optimal stopping problems in diffusion-type models with running maxima and drawdowns
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Quickest detection of a hidden target and extremal surfaces
- Russian and American put options under exponential phase-type Lévy models.
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- The Russian option: Reduced regret
- Three-dimensional Brownian motion and the golden ratio rule
- Watermark options
- \(\pi \) options
Cited in
(11)- A bilevel programming approach to double optimal stopping
- On Wald Optimal Stopping Problem for Geometric Brownian Motions
- Three-dimensional Brownian motion and the golden ratio rule
- Optimal double stopping time problem
- Optimal doubling points for Brownian motion with drift
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Optimal double stopping of a Brownian bridge
- Optimal stopping problems for running minima with positive discounting rates
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
This page was built for publication: Optimal double stopping problems for maxima and minima of geometric Brownian motions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2152240)
