Structure of optimal stopping domains for American options with knock out domains

zbMATH Open1164.60030MaRDI QIDQ3608282FDOQ3608282

Authors: R. Lundgren 

Publication date: 28 February 2009

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zbMATH Keywords

Markov processMonte Carlo simulationAmerican optionoptimal stoppingdiscrete timebarrier optionknock out option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (6)

• Title not available (Why is that?)
• Optimal stopping and reselling of European options
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
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• Convergence of option rewards for multivariate price processes

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