Gapeev, Pavel V. and Lerche, Hans Rudolf (2009) Discounted optimal stopping for diffusions: free-boundary versus martingale approach. CDAM research report, LSE-CDAM-2009-03. CDAM@LSE, London, UK.
Full text not available from this repository.Abstract
The free-boundary and the martingale approach are competitive methods of solving discounted optimal stopping problems for one-dimensional time-homogeneous regular diffusion processes on infinite time intervals. We provide a missing link showing the equivalence of these approaches for a problem, where the optimal stopping time is equal to the rst exit time of the underlying process from a region restricted by two constant boundaries. We also consider several illustrating examples including the rational valuation of the perpetual American strangle option.
| Item Type: | Monograph (Report) |
|---|---|
| Official URL: | http://www.cdam.lse.ac.uk/Reports/reports2009.html |
| Additional Information: | © 2009 The authors |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Mathematics Research centres and groups > Computational, Discrete and Applicable Mathematics@LSE (CDAM) |
| Identification Number: | LSE-CDAM-2009-03 |
| Date Deposited: | 31 Mar 2010 13:52 |
| URL: | http://eprints.lse.ac.uk/27622/ |
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