Optimal double stopping problems for maxima and minima of geometric Brownian motions

Autor: Pavel V. Gapeev, Peter M. Kort, Maria N. Lavrutich, Jacco J. J. Thijssen

Publikováno v: Methodology and Computing in Applied Probability, 24, 789-813. Springer Netherlands
Methodology and computing in applied probability
Methodology and Computing in Applied Probability

We present closed-form solutions to some double optimal stopping problems with payoffs representing linear functions of the running maxima and minima of a geometric Brownian motion. It is shown that the optimal stopping times are th first times at wh

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https://research.tilburguniversity.edu/en/publications/416d93cb-af0b-4527-821f-8958055b0553