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Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions |
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| Authors: | Gapeev Pavel V Kort Peter M Lavrutich Maria N Thijssen Jacco J J |
| Institution: | 1.Department of Mathematics, London School of Economics, Houghton Street, London, WC2A 2AE, United Kingdom ;2.Department of Econometrics and Operations Research, Tilburg University CentER, PO Box 90153, 5000, LE Tilburg, The Netherlands ;3.Department of Economics, University of Antwerp, Prinsstraat 13, 2000, Antwerp 1, Belgium ;4.Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, 7491, Trondheim, Norway ;5.Management School, University of York, Freboys Lane, York, YO10 5GD, United Kingdom ; |
| Abstract: | Methodology and Computing in Applied Probability - We present closed-form solutions to some double optimal stopping problems with payoffs representing linear functions of the running maxima and... |
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