Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs

DOI10.1017/APR.2020.57MaRDI QIDQ5022285zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Maria N. Lavrutich, Peter M. Kort

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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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• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
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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
• Optimality of myopic stopping times for geometric discounting
• Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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