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2006-09-11Buch DOI: 10.18452/3987
Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
dc.contributor.authorGapeev, Pavel V.
dc.date.accessioned2017-06-15T23:14:11Z
dc.date.available2017-06-15T23:14:11Z
dc.date.created2006-09-20
dc.date.issued2006-09-11
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4639
dc.description.abstractWe present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary surface to a parabolic free-boundary problem. Using the change-of-variable formula with local time on surfaces we show that the optimal boundary can be characterized as a unique solution of a nonlinear integral equation. The result can be interpreted as pricing American fixed-strike lookback option in a diffusion model with finite time horizon.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectgeometric Brownian motioneng
dc.subjectfinite horizoneng
dc.subjectDiscounted optimal stopping problemeng
dc.subjectmaximum processeng
dc.subjectparabolic free-boundary problemeng
dc.subjectsmooth fiteng
dc.subjectnormal reflectioneng
dc.subjecta nonlinear Volterra integral equation of the second kindeng
dc.subjectboundary surfaceeng
dc.subjecta change-of-variable formula with local time on surfaceseng
dc.subjectAmerican lookback option problemeng
dc.subject.ddc330 Wirtschaft
dc.titleDiscounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10068349
dc.identifier.doihttp://dx.doi.org/10.18452/3987
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue57
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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