Discounted optimal stopping problems for the maximum process
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Publication:2725294
DOI10.1239/jap/1014843077zbMath0980.60050OpenAlexW1994585976MaRDI QIDQ2725294
Publication date: 12 July 2001
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/32ba7894ac43c7b3f00ea4218d76c4d3493ee5a9
diffusionBessel processfree boundary problemprinciple of smooth fitBlack-Scholes modelvalue functiongeometric Brownian motionlookback optionreflected Brownian motionmaximality principleinfinitesimal operator
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