dc.contributor.author | Gapeev, Pavel | |
dc.contributor.author | Kort, P.M. | |
dc.contributor.author | Lavrutich, Maria | |
dc.date.accessioned | 2021-09-10T06:00:06Z | |
dc.date.available | 2021-09-10T06:00:06Z | |
dc.date.created | 2020-08-07T13:16:47Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 0001-8678 | |
dc.identifier.uri | https://hdl.handle.net/11250/2775043 | |
dc.description.abstract | We present closed-form solutions to some discounted optimal stopping problems for the running maximum of a geometric Brownian motion with payoffs switching according to the dynamics of a continuous-time Markov chain with two states. The proof is based on the reduction of the original problems to the equivalent free-boundary problems and the solution of the latter problems by means of the smooth-fit and normal-reflection conditions. We show that the optimal stopping boundaries are determined as the maximal solutions of the associated two-dimensional systems of first-order nonlinear ordinary differential equations. The obtained results are related to the valuation of real switching lookback options with fixed and floating sunk costs in the Black–Merton–Scholes model. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Oxford University Press | en_US |
dc.title | Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | acceptedVersion | en_US |
dc.source.journal | Advances in Applied Probability | en_US |
dc.identifier.doi | http://dx.doi.org/10.1017/apr.2020.57 | |
dc.identifier.cristin | 1822204 | |
dc.relation.project | Norges forskningsråd: 268093 | en_US |
cristin.ispublished | false | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |