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Stochastics

An International Journal of Probability and Stochastic Processes

Volume 94, 2022 - Issue 4

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Research Article

Optimal stopping problems for maxima and minima in models with asymmetric information

Pavel V. Gapeeva Department of Mathematics, London School of Economics, London, UKCorrespondence[email protected]

https://orcid.org/0000-0002-1346-2074

Libo Lib School of Mathematics and Statistics, University of New South Wales, Sydney, NSW, Australia

Pages 602-628 | Received 24 Nov 2020, Accepted 02 Sep 2021, Published online: 23 Sep 2021

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https://doi.org/10.1080/17442508.2021.1979976
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Citations (5)

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Articles from other publishers (5)

Zbigniew Palmowski & Paweł Stȩpniak. (2023) Last-Passage American Cancelable Option in Lévy Models. Journal of Risk and Financial Management 16:2, pages 82.
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Pavel V. Gapeev & Libo Li. (2022) Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information. SIAM Journal on Financial Mathematics 13:3, pages 773-801.
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Pavel V. Gapeev & Hessah Al Motairi. (2022) Discounted optimal stopping problems in first-passage time models with random thresholds. Journal of Applied Probability 59:3, pages 714-733.
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Pavel V. Gapeev, Peter M. Kort, Maria N. Lavrutich & Jacco J. J. Thijssen. (2022) Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions. Methodology and Computing in Applied Probability 24:2, pages 789-813.
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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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