Optimal stopping rules for American and Russian options in a correlated random walk model

DOI10.1080/15326349.2010.519667zbMATH Open1206.60044OpenAlexW1982855794MaRDI QIDQ3068091FDOQ3068091

Authors: 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

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zbMATH Keywords

stopping ruleoptimality principlecorrelated random walkdiscount factordirectional 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

• On the optimal stopping problem for one-dimensional diffusions.
• Title not available (Why is that?)
• The Russian option: Reduced regret
• Title not available (Why is that?)
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Russian options with a finite time horizon
• Optimal stopping and perpetual options for Lévy processes
• The correlated random walk
• Optimal Stopping for Partial Sums
• Optimal stopping rules for directionally reinforced processes
• The general correlated random walk
• Optimal Stopping When the Future is Discounted
• Optimal Buy/Sell Rules for Correlated Random Walks
• Some time-invariant stopping rule problems
• Optimal stopping rules for correlated random walks with a discount
• Stopping the maximum of a correlated random walk, with cost for observation

Cited In (4)

• Stopping at the maximum of geometric Brownian motion when signals are received
• Optimal Buy/Sell Rules for Correlated Random Walks
• Optimal stopping rules for correlated random walks with a discount
• Optimal stopping rules for directionally reinforced processes

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