An iterative procedure for solving integral equations related to optimal stopping problems

DOI10.1080/17442500903371002zbMath1222.60035OpenAlexW2136987986MaRDI QIDQ3080991

Denis Belomestny, Pavel V. Gapeev

Publication date: 11 March 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500903371002

zbMATH Keywords

optimal stoppingdiffusion processupper and lower boundsfinite horizonAmerican putAsian and Russian optionsequential testing and disorder detection problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Algorithms for approximation of functions (65D15) Numerical integration (65D30)

Related Items (1)

Optimal stopping with private information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wiener disorder problem with finite horizon
• The pricing of the American option
• On optimal stopping and free boundary problems
• The Russian option: Reduced regret
• The Russian option: finite horizon
• Iterative construction of the optimal Bermudan stopping time
• A change-of-variable formula with local time on curves
• CRITICAL STOCK PRICE NEAR EXPIRATION
• On a solution of the optimal stopping problem for processes with independent increments
• Pricing American Options: A Duality Approach
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• The Wiener Sequential Testing Problem with Finite Horizon
• Monte Carlo valuation of American options
• Randomization and the American Put
• ON THE AMERICAN OPTION PROBLEM
• MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

This page was built for publication: An iterative procedure for solving integral equations related to optimal stopping problems