Discounted optimal stopping for maxima in diffusion models with finite horizon.
Electronic Journal of Probability [electronic only] (2006)
- Volume: 11, page 1031-1048
- ISSN: 1083-589X
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topGapeev, Pavel V.. "Discounted optimal stopping for maxima in diffusion models with finite horizon.." Electronic Journal of Probability [electronic only] 11 (2006): 1031-1048. <http://eudml.org/doc/128201>.
@article{Gapeev2006,
author = {Gapeev, Pavel V.},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {geometric Brownian motion; parabolic free-boundary problem; change-of-variable formula; American fixed-strike lookback option; finite time horizon},
language = {eng},
pages = {1031-1048},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Discounted optimal stopping for maxima in diffusion models with finite horizon.},
url = {http://eudml.org/doc/128201},
volume = {11},
year = {2006},
}
TY - JOUR
AU - Gapeev, Pavel V.
TI - Discounted optimal stopping for maxima in diffusion models with finite horizon.
JO - Electronic Journal of Probability [electronic only]
PY - 2006
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 11
SP - 1031
EP - 1048
LA - eng
KW - geometric Brownian motion; parabolic free-boundary problem; change-of-variable formula; American fixed-strike lookback option; finite time horizon
UR - http://eudml.org/doc/128201
ER -
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