Perpetual dual American barrier options for short sellers

DOI10.1007/978-3-030-28665-1_6zbMath1434.62221OpenAlexW2915354582MaRDI QIDQ2179551

Pavel V. Gapeev

Publication date: 13 May 2020

Full work available at URL: http://eprints.lse.ac.uk/100151/1/NewLook_18_10_25f.pdf

zbMATH Keywords

Brownian motionfree-boundary problemoptimal stopping problemfirst hitting timea change-of-variable formula with local time on surfacesinstantaneous stopping and smooth fitpositive discounting rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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