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DOI10.1007/s00780-016-0319-xzbMath1380.91134arXiv1609.07419OpenAlexW3038104323WikidataQ59615562 ScholiaQ59615562MaRDI QIDQ503393

Neofytos Rodosthenous, Mihail Zervos

Publication date: 12 January 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07419

zbMATH Keywords

optimal stopping problemseparatrixperpetual American optionhighly nonlinear differential equationrunning maximum processtwo-dimensional free-boundary problemwatermark option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

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 problems for maxima and minima in models with asymmetric information ⋮ Performance Fees with Stochastic Benchmark ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ Pricing American drawdown options under Markov models ⋮ 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

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