Stopping at the maximum of geometric Brownian motion when signals are received

DOI10.1239/JAP/1127322030MaRDI QIDQ3367751zbMATH OpenOpenAlexFDO

Authors Xin Guo, Jun Liu

Publication date 26 January 2006

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1127322030

zbMATH Keywords

Poisson processoptimal stopping problemsmooth fitvariational inequalitylook-back option pricing

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Discounted optimal stopping for maxima in diffusion models with finite horizon
• Optimal stopping problems for running minima with positive discounting rates
• Arbitrage pricing of Russian options and perpetual lookback options
• Optimal stopping rules for American and Russian options in a correlated random walk model
• On the lookback option with fixed strike
• Filling the gap between American and Russian options: adjustable regret

Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (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 1795850 (Why is no real title available?)
• scientific article; zbMATH DE number 796441 (Why is no real title available?)
• scientific article; zbMATH DE number 3215685 (Why is no real title available?)
• An explicit solution to an optimal stopping problem with regime switching
• Arbitrage pricing of Russian options and perpetual lookback options
• On optimal stopping and free boundary problems
• Optimal Stopping and the American Put
• Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
• Optimal stopping with random intervention times
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Some solvable stochastic control problemst^†
• The Russian option: Reduced regret

Cited in

(11)

• On time-inconsistent stopping problems and mixed strategy stopping times
• Bounded variation control of Itô diffusions with exogenously restricted intervention times
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
• Optimal stopping with information constraint
• Optimal stopping problems in Lévy models with random observations
• The randomized American option as a classical solution to the penalized problem
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Optimal stopping with random intervention times
• Constrained optimal stopping, liquidity and effort
• A zero-sum Poisson stopping game with asymmetric signal rates

This page was built for publication: Stopping at the maximum of geometric Brownian motion when signals are received

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3367751)