Monotonicity of the value function for a two-dimensional optimal stopping problem
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Publication:2511558
DOI10.1214/13-AAP956zbMath1316.60056arXiv1208.3126OpenAlexW3100336036MaRDI QIDQ2511558
Adriana Ocejo, Sigurd Assing, S. D. Jacka
Publication date: 6 August 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.3126
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Related Items (6)
Parallel search for information in continuous time -- optimal stopping and geometry of the PDE ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ Uncertainty Quantification of Derivative Instruments ⋮ On the regularity of American options with regime-switching uncertainty ⋮ On some functionals of the first passage times in jump models of stochastic volatility
Cites Work
- Comparison results for stochastic volatility models via coupling
- Properties of American option prices
- Contingent Claims and Market Completeness in a Stochastic Volatility Model
- A Theory of the Term Structure of Interest Rates
- Option Pricing With Markov-Modulated Dynamics
- DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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