Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

Publication date: 22 August 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Brownian motion first passage time free-boundary problem optimal stopping problem normal reflection last hitting time running maximum and minimum processes stochastic boundary instantaneous stopping and smooth fit change-of-variable formula with local time on surfaces perpetual American standard and lookback options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Cites Work

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