Optimal stopping problems for maxima and minima in models with asymmetric information

DOI10.1080/17442508.2021.1979976zbMath1497.60060OpenAlexW3186396187MaRDI QIDQ5080073

Pavel V. Gapeev, Li-Bo Li

Publication date: 31 May 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/111422/3/17442508.2021.pdf

zbMATH Keywords

Brownian motionasymmetric informationfirst passage timefree-boundary problemoptimal stopping problemnormal reflectionlast hitting timerunning maximum and minimum processesstochastic boundarya change-of-variable formula with local time on surfacesinstantaneous stopping and smooth fitperpetual American standard and lookback options

Mathematics Subject Classification ID

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

Related Items (4)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions ⋮ 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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