A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading

DOI10.1287/moor.2021.1190OpenAlexW2954819531MaRDI QIDQ5868937

Katia Colaneri, Tiziano De Angelis

Publication date: 26 September 2022

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.02650

zbMATH Keywords

optimal stopping theorystock sellingrecursive optimal stopping problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (1)

Analysis of the optimal exercise boundary of American put options with delivery lags

Cites Work

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