Optimal Stopping for Partial Sums

Cited In (26)

Some time-invariant stopping rule problems
Some remarks on first passage of Lévy processes, the American put and pasting principles
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
A note on one-sided solutions for optimal stopping problems driven by Lévy processes
Convergence of exit times for diffusion processes
Optimal stopping for Lévy processes with one-sided solutions
Optimal stopping rules for correlated random walks with a discount
Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
Russian and American put options under exponential phase-type Lévy models.
Optimal Stopping for Processes with Independent Increments, and Applications
On a solution of the optimal stopping problem for processes with independent increments
On infinite horizon optimal stopping of general random walk
Expectation inequalities associated with prophet problems¹
An effective method for the explicit solution of sequential problems on the real line
A general method for finding the optimal threshold in discrete time
Optimal stopping time problem for random walks with polynomial reward functions
American options: the EPV pricing model
Double continuation regions for American options under Poisson exercise opportunities
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
Optimal stopping rules for American and Russian options in a correlated random walk model
Variability is beneficial in marked stopping problems
One-sided solutions for optimal stopping problems with logconcave reward functions
On a problem of optimal stopping in mathematical finance
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
An approach for solving perpetual optimal stopping problems driven by Lévy processes
Optimal stopping of Hunt and Lévy processes

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