Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
DOI10.1137/21M1396848MaRDI QIDQ5097216
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Brownian motionfirst passage timefree-boundary problemoptimal stopping problemnormal reflectionlast hitting timerunning maximum and minimum processesstochastic boundaryinstantaneous stopping and smooth fitchange-of-variable formula with local time on surfacesperpetual American standard and lookback options
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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