The Wiener disorder problem with finite horizon
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References listed on IDEAS
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
- Goran Peskir, 2005. "The Russian option: Finite horizon," Finance and Stochastics, Springer, vol. 9(2), pages 251-267, April.
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- Pavel V. Gapeev, 2006. "Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon," SFB 649 Discussion Papers SFB649DP2006-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Pavel V. Gapeev, 2006. "An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems," SFB 649 Discussion Papers SFB649DP2006-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Pavel V. Gapeev, 2006. "Integral Options in Models with Jumps," SFB 649 Discussion Papers SFB649DP2006-068, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsDisorder problem Wiener process Optimal stopping Finite horizon Parabolic free-boundary problem A nonlinear Volterra integral equation of the second kind Curved boundary A change-of-variable formula with local time on curves;
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