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

MaRDI QIDQ3608282zbMATH OpenFDO

Authors R. Lundgren

Publication date 28 February 2009

zbMATH Keywords

Markov processMonte Carlo simulationAmerican optionoptimal stoppingdiscrete timebarrier optionknock out option

Mathematics Subject Classification ID

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

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• 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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