Filling the gap between American and Russian options: adjustable regret

DOI10.1080/17442500601072480zbMath1124.60039OpenAlexW2037131764MaRDI QIDQ3429333

Savas Dayanik, Michael Ludkovski

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601072480

zbMATH Keywords

Brownian motionoptimal multiple stoppingRussian optionbest choice problem

Mathematics Subject Classification ID

Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (1)

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Cites Work

• The Russian option: Reduced regret
• Arbitrage pricing of Russian options and perpetual lookback options
• On the optimal stopping problem for one-dimensional diffusions.
• The Secretary Problem and Its Extensions: A Review
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• BOUNDARY THEORY OF MARKOV PROCESSES (THE DISCRETE CASE)

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