Optimal stopping problem in a model with compensated refusal of reward

DOI10.1134/S0001434611010299MaRDI QIDQ650415zbMATH OpenOpenAlexFDO

Authors Roman Ivanov

Publication date 25 November 2011

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0001434611010299

zbMATH Keywords

stopping timeoptimal stopping problemexponential Brownian motiondominated convergencereward functionstandard American optionItô-Meyer formula

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3725517 (Why is no real title available?)
• scientific article; zbMATH DE number 796440 (Why is no real title available?)
• A change-of-variable formula with local time on curves
• A new approach to the skorohod problem, and its applications
• Bounds for perpetual American option prices in a jump diffusion model
• Discrete approximation of finite-horizon American-style options
• Error estimates for the binomial approximation of American put options
• Incompleteness of markets driven by a mixed diffusion
• ON THE AMERICAN OPTION PROBLEM
• On optimal stopping and free boundary problems
• On the Pricing of American Options in Exponential Lévy Markets
• Optimal Stopping and the American Put
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Randomized stopping times and American option pricing with transaction costs
• The Russian option: Reduced regret
• The pricing of the American option
• Valuation of American options in the presence of event risk

Cited in

(1)

• Infinite horizon stopping problems with (nearly) total reward criteria

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