Perpetual American options in diffusion-type models with running maxima and drawdowns

DOI10.1016/j.spa.2016.01.003zbMath1337.60072arXiv1604.02890OpenAlexW2269160293MaRDI QIDQ271879

Pavel V. Gapeev, Neofytos Rodosthenous

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.02890

zbMATH Keywords

Brownian motionfree-boundary problemsmooth fitnormal reflectionchange-of-variable formuladiffusion-type modelsinstantaneous stoppingmulti-dimensional optimal stopping problemperpetual American optionsrunning maximum drawdown process

Mathematics Subject Classification ID

Related Items (8)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions ⋮ Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ Pricing American drawdown options under Markov models ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds ⋮ Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs

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