Optimal stopping problems for running minima with positive discounting rates
From MaRDI portal
Publication:2216971
Recommendations
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- \(\pi \) options
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Perpetual dual American barrier options for short sellers
Cites work
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1227086 (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?)
- scientific article; zbMATH DE number 972637 (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
- American-style derivatives. Valuation and computation.
- An optimal stopping problem in a diffusion-type model with delay
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Discounted optimal stopping problems for the maximum process
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Optimal detection of a hidden target: the median rule
- Optimal stopping and maximal inequalities for geometric Brownian motion
- Optimal stopping of the maximum process: The maximality principle
- 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
- Perpetual dual American barrier options for short sellers
- Predicting the time at which a Lévy process attains its ultimate supremum
- Quickest detection of a hidden target and extremal surfaces
- Real options with a double continuation region
- Russian and American put options under exponential phase-type Lévy models.
- STOCK LOANS
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- The Russian option: Reduced regret
- The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process
- The integral option in a model with jumps
- Three-dimensional Brownian motion and the golden ratio rule
- Watermark options
- \(\pi \) options
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
This page was built for publication: Optimal stopping problems for running minima with positive discounting rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2216971)
