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

dominated convergenceexponential Brownian motionItô-Meyer formulaoptimal stopping problemreward functionstandard American optionstopping time

Mathematics Subject Classification ID

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

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Cites work

• A change-of-variable formula with local time on curves
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• scientific article; zbMATH DE number 796440 (Why is no real title available?)
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• ON THE AMERICAN OPTION PROBLEM
• 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 pricing of the American option
• The Russian option: Reduced regret
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Cited in

(1)

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

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