American perpetual options with random start

DOI10.1016/j.rinam.2019.100017zbMath1452.91303MaRDI QIDQ2211060

F. Armerin

Publication date: 10 November 2020

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2019.100017

zbMATH Keywords

optimal stopping; American options; real options; perpetual options

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

91G50: Corporate finance (dividends, real options, etc.)