Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
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- 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.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
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KeywordsDiscounted 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;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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