Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a … stopping problem
for the maximum of a geometric Brownian motion on a flnite time inter-
val. The method of proof is based on … Classiflcation: G13.
Key words and phrases: Discounted optimal stopping problem, flnite horizon, geometric Brownian motion,
maximum …