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

DOI10.1239/JAP/1127322030zbMATH Open1094.60030OpenAlexW2125523674MaRDI QIDQ3367751FDOQ3367751

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Stopping and the American Put
• Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
• The Russian option: Reduced regret
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Arbitrage pricing of Russian options and perpetual lookback options
• Optimal stopping with random intervention times
• Some solvable stochastic control problemst^†
• On optimal stopping and free boundary problems
• An explicit solution to an optimal stopping problem with regime switching

Cited In (9)

• On time-inconsistent stopping problems and mixed strategy stopping times
• Constrained optimal stopping, liquidity and effort
• Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times
• The randomized American option as a classical solution to the penalized problem
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• A zero-sum Poisson stopping game with asymmetric signal rates
• 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

Recommendations

• Some optimal stopping problems with nontrivial boundaries for pricing exotic options 👍 👎
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes 👍 👎
• Arbitrage pricing of Russian options and perpetual lookback options 👍 👎
• Discounted optimal stopping for maxima in diffusion models with finite horizon 👍 👎
• Optimal stopping problems for running minima with positive discounting rates 👍 👎
• Filling the gap between American and Russian options: adjustable regret 👍 👎
• On the lookback option with fixed strike 👍 👎
• Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model 👍 👎

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)