Optimal stopping problems for running minima with positive discounting rates
The main aim of this paper is to get analytic solutions to the discounted optimal stopping problems of \(V_*(x, y) = \inf_{\tau}\textbf{E}_{x,y}[\exp\{r\tau\}(Y_\tau+L)]\) and \(W_*(x, y) = \inf_{\xi}\textbf{E}_{x,y}[\exp\{r\xi\}(Y_\xi+L X_\xi)]\) for the running minimum \(Y\) associated with the process \(X\) defined as \(X_t = x \exp((\mu-\frac{\sigma^2}{2})t + \sigma B_t)\), where \(B\) is a standard Brownian motion, with exponential positive discounting rates which problems are generalisation those considered, e.g., by \textit{L. A. Shepp} and \textit{A. N. Shiryaev} [in: Probability theory and mathematical statistics. Lectures presented at the semester held in St. Petersburg, Russia, March 2--April 23, 1993. Amsterdam: Gordon and Breach Publishers. 209--218 (1996; Zbl 0867.90014)], the author [``Solving the dual Russian option problem by using change-of-measure arguments, High Freq. 2, No. 2, 76--84, (2019; \url{doi:10.1002/hf2.10030})]. The proof is based on the reduction of the original problems to the associated free boundary problems and the solution of the latter problems by means of the smooth-fit and normal-reflection conditions. It is shown that the optimal stopping boundaries are determined as the minimal solutions of certain first-order nonlinear ordinary differential equations. The obtained results are related to the valuation of perpetual dual American lookback options with fixed and floating strikes in the Black-Merton-Scholes model from the point of view of short sellers.
- 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
- \(\pi \) options
- A capped optimal stopping problem for the maximum process
- A Change-of-Variable Formula with Local Time on Surfaces
- 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
- 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?)
- 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.
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- STOCK LOANS
- The integral option in a model with jumps
- The Russian option: Reduced regret
- The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process
- Three-dimensional Brownian motion and the golden ratio rule
- Watermark options
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Stopping at the maximum of geometric Brownian motion when signals are received
- Optimality of myopic stopping times for geometric discounting
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Perpetual American compound fixed-strike lookback options on maxima drawdowns
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- Perpetual American compound lookback and integral options with floating strikes
- The integral option in a model with jumps
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)
