American Options with guarantee – A class of two-sided stopping problems

DOI10.1524/STRM.2013.1122zbMath1288.60050OpenAlexW1970811103MaRDI QIDQ2855514

Albrecht Irle, Sören Christensen

Publication date: 25 October 2013

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2013.1122

zbMATH Keywords

Lévy processesoptimal stoppingdiffusionstwo-sided strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models ⋮ On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems

This page was built for publication: American Options with guarantee – A class of two-sided stopping problems