Optimal stopping problems for running minima with positive discounting rates

DOI10.1016/J.SPL.2020.108899zbMATH Open1464.60036OpenAlexW3047551347MaRDI QIDQ2216971FDOQ2216971

Publication date: 18 December 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/105849/1/GapeevM4_19_12_25h.pdf

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Brownian motion free-boundary problem optimal stopping problem change-of-variable formula with local time on surfaces exponential positive discounting rate running minimum process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

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Optimal stopping problems for the maximum process with upper and lower caps
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Cited In (7)

Stopping at the maximum of geometric Brownian motion when signals are received
Perpetual American double lookback options on drawdowns and drawups with floating strikes
The integral option in a model with jumps
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
Optimal double stopping problems for maxima and minima of geometric Brownian motions
Discounted optimal stopping problems in first-passage time models with random thresholds
Optimality of myopic stopping times for geometric discounting

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