For geometrical Brownian motion we consider the problem of nd-ing the optimal stopping time and the value function for a Russion (put) option, assuming that the decision about stopping should be taken before the process of prices reaches "dangerous " a barrier on the level "> 0.
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
We apply the change-of-measure arguments of Shepp and Shiryaev [38]to study the dual Russian option ...
We present a closed form solution to the perpetual American double barrier call option problem in a ...
We show that the optimal stopping boundary for the Russian option with finite horizon can be charact...
Abstract. We show that the optimal stopping boundary for the Russian option with finite horizon can ...
Abstract. We study several infinite-horizon optimal multiple-stopping problems for (geo-metric) Brow...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
The Russian option is a lookback option which pays the maximum-to-date of the underlying, subject to...
Mathematically, the execution of an American-style financial derivative is commonly reduced to solvi...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
In this paper we study the Russian option, which is a non-standard path-dependent option of American...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
We present a closed form solution to the perpetual American double barrier call option problem in a ...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
We apply the change-of-measure arguments of Shepp and Shiryaev [38]to study the dual Russian option ...
We present a closed form solution to the perpetual American double barrier call option problem in a ...
We show that the optimal stopping boundary for the Russian option with finite horizon can be charact...
Abstract. We show that the optimal stopping boundary for the Russian option with finite horizon can ...
Abstract. We study several infinite-horizon optimal multiple-stopping problems for (geo-metric) Brow...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
The Russian option is a lookback option which pays the maximum-to-date of the underlying, subject to...
Mathematically, the execution of an American-style financial derivative is commonly reduced to solvi...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
In this paper we study the Russian option, which is a non-standard path-dependent option of American...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
We present a closed form solution to the perpetual American double barrier call option problem in a ...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
We apply the change-of-measure arguments of Shepp and Shiryaev [38]to study the dual Russian option ...
We present a closed form solution to the perpetual American double barrier call option problem in a ...