Optimal double stopping of a Brownian bridge

Autor:	Budhi Arta Surya, Nan Chen, Erik J. Baurdoux, Kazutoshi Yamazaki
Jazyk:	angličtina
Rok vydání:	2014
Předmět:	Statistics and Probability 050208 finance optimal double stopping Applied Mathematics 05 social sciences buying-selling strategy Brownian bridge Type (model theory) 01 natural sciences Mathematical Finance (q-fin.MF) FOS: Economics and business 60G40 60H30 010104 statistics & probability Optimization and Control (math.OC) Quantitative Finance - Mathematical Finance 0502 economics and business FOS: Mathematics Applied mathematics HA Statistics 0101 mathematics 60H30 Mathematics - Optimization and Control 60G40 Mathematics
Zdroj:	Adv. in Appl. Probab. 47, no. 4 (2015), 1212-1234
Popis:	We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of a threshold type.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0bd90f5a900b7a82489541f77a7b5d2a http://arxiv.org/abs/1409.2226 Zobrazit plný text záznamu