Blar i Institutt for industriell økonomi og teknologiledelse på tidsskrift "Advances in Applied Probability"
Viser treff 1-1 av 1
-
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 ...