Blar i NTNU Open på forfatter "Gapeev, Pavel"
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Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria (Peer reviewed; Journal article, 2020)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 ... -
Optimal double stopping problems for maxima and minima of geometric Brownian motions
Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2022)