Browsing Fakultet for økonomi (ØK) by Journals "Advances in Applied Probability"
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Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
(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 ...