Perpetual American options in a diffusion model with piecewise-linear coefficients

DOI10.1524/strm.2013.1135zbMath1267.91069OpenAlexW3125997747MaRDI QIDQ4918189

Neofytos Rodosthenous, Pavel V. Gapeev

Publication date: 23 April 2013

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

Full work available at URL: https://doi.org/10.1524/strm.2013.1135

zbMATH Keywords

free-boundary problemfirst hitting timeperpetual American optionslocal time-space formuladiffusion process with piecewise-linear coefficientsdiscounted optimal stopping problem

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary value problems for functional-differential equations (34K10)

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Cites Work

• Recovering a time-homogeneous stock price process from perpetual option prices
• On a class of optimal stopping problems for diffusions with discontinuous coefficients
• Optimal Stopping of One-Dimensional Diffusions
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems