Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs

DOI10.1017/apr.2020.57zbMath1497.60059OpenAlexW3115888285MaRDI QIDQ5022285

Pavel V. Gapeev, Maria N. Lavrutich, Peter M. Kort

Publication date: 18 January 2022

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

Full work available at URL: http://eprints.lse.ac.uk/105811/1/Gapeev_Kort_Lavrutich_APT.pdf

zbMATH Keywords

geometric Brownian motioncontinuous-time Markov chainfree-boundary problemnormal reflectionrunning maximum processinstantaneous stopping and smooth fitchange-of-variable formula with local time on surfacesdiscounted optimal stopping problemperpetual American and real options

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Free boundary problems for PDEs (35R35) Continuous-time Markov processes on discrete state spaces (60J27)

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Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions ⋮ Optimal stopping time on semi-Markov processes with finite horizon ⋮ Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds

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