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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

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23c707abca68db67a87cf2bacf81e68e
https://research.tilburguniversity.edu/en/publications/416d93cb-af0b-4527-821f-8958055b0553

Selling a Stock at the Ultimate Maximum

Autor: du Toit, Jacques, Peskir, Goran

Publikováno v: The Annals of Applied Probability, 2009 Jun 01. 19(3), 983-1014.

Externí odkaz: https://www.jstor.org/stable/30243609

Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes

Autor: Gapeev, Pavel V.

Publikováno v: Journal of Applied Probability, 2007 Sep 01. 44(3), 713-731.

Externí odkaz: https://www.jstor.org/stable/27595877

Reflecting Brownian Motion in a Lipschitz Domain and a Conditional Gauge Theorem

Autor: Ramasubramanian, S.

Publikováno v: Sankhyā: The Indian Journal of Statistics, Series A (1961-2002), 2001 Jun 01. 63(2), 178-193.

Externí odkaz: https://www.jstor.org/stable/25051351