Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
DOI10.1017/APR.2020.57zbMATH Open1497.60059OpenAlexW3115888285MaRDI QIDQ5022285FDOQ5022285
Pavel Gapeev, Peter M. Kort, Maria N. Lavrutich
Publication date: 18 January 2022
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/105811/1/Gapeev_Kort_Lavrutich_APT.pdf
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- scientific article; zbMATH DE number 1429026
continuous-time Markov chainfree-boundary problemgeometric Brownian motionnormal reflectionrunning maximum processinstantaneous stopping and smooth fitchange-of-variable formula with local time on surfacesdiscounted optimal stopping problemperpetual American and real options
Brownian motion (60J65) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)
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Cited In (14)
- Discounted optimal stopping problems in continuous hidden Markov models
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- An explicit solution to an optimal stopping problem with regime switching
- An optimal stopping problem for a geometric Brownian motion with Poissonian jumps
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Optimal stopping time on semi-Markov processes with finite horizon
- Discounted optimal stopping problems for the maximum process
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- Optimality of myopic stopping times for geometric discounting
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