Discounted optimal stopping problems for the maximum process (Q2725294)
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scientific article; zbMATH DE number 1619096
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discounted optimal stopping problems for the maximum process |
scientific article; zbMATH DE number 1619096 |
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Discounted optimal stopping problems for the maximum process (English)
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12 July 2001
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geometric Brownian motion
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diffusion
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maximality principle
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free boundary problem
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principle of smooth fit
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infinitesimal operator
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reflected Brownian motion
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Bessel process
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lookback option
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Black-Scholes model
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value function
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