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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

On the structure of discounted optimal stopping problems for one-dimensional diffusions

Pavel V. Gapeev Department of Mathematics, London School of Economics, Houghton Street, London, WC2A 2AE, UKCorrespondence[email protected]
&
Hans Rudolf Lerche Department of Mathematical Stochastics, University of Freiburg, Eckerstrasse 1, Freiburg im Breisgau, D-79104, GermanyView further author information
Pages 537-554 | Received 30 Sep 2009, Accepted 14 Oct 2010, Published online: 10 Oct 2011

Citations (10)

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Read on this site (2)

Shi Qiu. (2020) American Strangle Options. Applied Mathematical Finance 27:3, pages 228-263.
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B. Buonaguidi & P. Muliere. (2014) On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay. Stochastics 86:6, pages 865-869.
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Articles from other publishers (8)

Tsvetelin S. Zaevski. (2023) American strangle options with arbitrary strikes. Journal of Futures Markets 43:7, pages 880-903.
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Pavel V. Gapeev. (2022) Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes. Methodology and Computing in Applied Probability 24:2, pages 749-788.
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Luis H. R. Alvarez E. & Sören Christensen. (2021) A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty. Advances in Applied Probability 53:2, pages 400-424.
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Pavel V. Gapeev. (2019) Solving the dual Russian option problem by using change‐of‐measure arguments. High Frequency 2:2, pages 76-84.
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SHI QIU & SOVAN MITRA. (2019) MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS. International Journal of Theoretical and Applied Finance 21:08, pages 1850062.
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Yipeng Yang. (2014) A Multidimensional Stochastic Singular Control Problem Via Dynkin Game and Dirichlet Form. SIAM Journal on Control and Optimization 52:6, pages 3807-3832.
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Damien Lamberton & Mihail Zervos. (2013) On the optimal stopping of a one-dimensional diffusion. Electronic Journal of Probability 18:none.
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Pavel V. Gapeev & Neofytos Rodosthenous. (2010) On the Pricing of Perpetual American Compound Options. SSRN Electronic Journal.
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