Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

DOI10.1239/jap/1409932675zbMath1312.60044arXiv1405.4438OpenAlexW2032664174MaRDI QIDQ2923437

Pavel V. Gapeev, Neofytos Rodosthenous

Publication date: 15 October 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4438

zbMATH Keywords

Brownian motionfree-boundary problemnormal reflectiondiffusion-type modelsperpetual American optionsrunning maximum drawdown processmultidimensional optimal stopping problem

Mathematics Subject Classification ID

Related Items (11)

Perpetual American options in diffusion-type models with running maxima and drawdowns ⋮ Distribution of the integral of maximum processes and applications ⋮ Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions ⋮ Some sufficient conditions for Novikov’s criterion ⋮ Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ 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

This page was built for publication: Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns