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.
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)|
|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)
|Date Deposited:||31 Mar 2010 13:52|
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