On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

DOI10.1239/jap/1175267171zbMath1134.60338OpenAlexW2014388916MaRDI QIDQ5443709

Stéphane Villeneuve

Publication date: 22 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1175267171

zbMATH Keywords

optimal stoppingprinciple of smooth fitlocal time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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• Robustness of the Black and Scholes Formula
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