Optimal stopping problem in a model with compensated refusal of reward |
| |
Authors: | R V Ivanov |
| |
Institution: | 1. Institute for Problems of Control, Russian Academy of Sciences, Moscow, Russia
|
| |
Abstract: | We consider the optimal stopping problem with a possible compensated refusal of reward. We discuss functionals of exponential Brownian motion. The optimal stopping time is defined on the set of all finite stopping times. The functionals under consideration correspond to payments for standard American options. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|