# 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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