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DOI10.1016/J.SPA.2010.02.008zbMATH Open1200.91290OpenAlexW4213126290MaRDI QIDQ981010FDOQ981010
Authors: Xin Guo, Mihail Zervos 
Publication date: 8 July 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.02.008
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optimal stoppingvariational inequalityseparatrixrunning maximum processAmerican-type call optiontwo dimensional free-boundary problem
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cites Work
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Stochastic differential equations. An introduction with applications.
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- Applied stochastic control of jump diffusions
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- Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
- Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
- The Russian option: Reduced regret
- Discounted optimal stopping problems for the maximum process
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
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- Optimal stopping and maximal inequalities for geometric Brownian motion
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- Optimal stopping of the maximum process: a converse to the results of Peskir
- The Maximality Principle Revisited: On Certain Optimal Stopping Problems
- Optimal Stopping Rules
Cited In (20)
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Quickest detection of a hidden target and extremal surfaces
- Bottleneck options
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- Optimal stopping problems for running minima with positive discounting rates
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Pricing of American lookback spread options
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- A direct solution method for pricing options involving the maximum process
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Three-dimensional Brownian motion and the golden ratio rule
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
- Learning about profitability and dynamic cash management
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Watermark options
- Perpetual options and Canadization through fluctuation theory
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- The Value of the Perpetual American Call on the Time-Average of the Stock
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