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My bibliography Save this paperDiscounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
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References listed on IDEAS
- Gapeev, P.V. & Peskir, G., 2006. "The Wiener disorder problem with finite horizon," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1770-1791, December.
- Goran Peskir, 2005. "On The American Option Problem," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 169-181, January.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14, April.
- Goran Peskir, 2005. "The Russian option: Finite horizon," Finance and Stochastics, Springer, vol. 9(2), pages 251-267, April.
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Cited by:
- Luluwah Al-Fagih, 2015. "The British Knock-Out Put Option," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-32.
- Yerkin Kitapbayev, 2015. "The British Lookback Option with Fixed Strike," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(3), pages 238-260, July.
- Thomas Kruse & Philipp Strack, 2019.
"An Inverse Optimal Stopping Problem for Diffusion Processes,"
Mathematics of Operations Research, INFORMS, vol. 44(2), pages 423-439, May.
- Thomas Kruse & Philipp Strack, 2014. "An inverse optimal stopping problem for diffusion processes," Papers 1406.0209, arXiv.org, revised Aug 2017.
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More about this item
Keywords
Discounted optimal stopping problem; finite horizon; geometric Brownian motion; maximum process; parabolic free-boundary problem; smooth fit; normal reflection; a nonlinear Volterra integral equation of the second kind; boundary surface; a change-of-variable formula with local time on surfaces; American lookback option problem;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-09-23 (Finance)
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