Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model

DOI10.1080/15326349.2010.519667zbMath1206.60044OpenAlexW1982855794MaRDI QIDQ3068091

Pieter C. Allaart

Publication date: 13 January 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2010.519667

zbMATH Keywords

stopping rulediscount factoroptimality principlecorrelated random walkdirectional reinforcement

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

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• Optimal Buy/Sell Rules for Correlated Random Walks
• Optimal Stopping When the Future is Discounted
• Optimal Stopping for Partial Sums
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION

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