Choosing an Optimal Switching Moment on the Financial Market with Alternative Strategies (Semimartingale Approach)

DOI10.1137/S0040585X97978419zbMATH Open1001.91081OpenAlexW1985951580MaRDI QIDQ4328493

Ya. A. Oltsik, Yuliya S. Mishura

Publication date: 25 April 2002

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97978419

zbMATH Keywords

American optionAmerican option priceoptimal portfolio-stopping timesoptimal turning stopping timesubmartigale processes

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios

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