Discussion on 'An effective method for the explicit solution of sequential problems on the real line' by Sören Christensen
| Autor: | Bruno Buonaguidi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Geometric Brownian motion Exponential distribution 010102 general mathematics Free-boundary problem geometric Brownian motion optimal stopping perpetual American put option Modeling and Simulation 01 natural sciences Settore MAT/06 - PROBABILITÀ E STATISTICA MATEMATICA 010104 statistics & probability Settore SECS-S/01 - STATISTICA Calculus Free boundary problem Effective method Optimal stopping 0101 mathematics Put option Real line Mathematics Probability measure |
| Popis: | Let be a geometric Brownian motion, ℙx be the probability measure under which X starts at x>0, and T be an exponential random variable independent of X. Using the very interesting results presented by Professor Christensen and exploiting the free-boundary problem solution for the optimal exercise of a perpetual American put option, we provide an alternative way to derive the well-known quantity . |
| Databáze: | OpenAIRE |
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