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optimal stopping
Stochastischer Prozess
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geometric Brownian motion
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3
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Bogachev, Leonid V.
2
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2
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1
Optimal stopping and utility in a simple modelof unemployment insurance
Anquandah, Jason S.
;
Bogachev, Leonid V.
- In:
Risks
7
(
2019
)
3
,
pp. 1-41
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...
Persistent link: https://www.econbiz.de/10013200512
Saved in:
2
Optimal stopping and utility in a simple modelof unemployment insurance
Anquandah, Jason S.
;
Bogachev, Leonid V.
- In:
Risks : open access journal
7
(
2019
)
3/94
,
pp. 1-41
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...
Persistent link: https://www.econbiz.de/10012126434
Saved in:
3
Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
Saved in:
4
The British asset-or-nothing put option
Gao, Min
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011687026
Saved in:
5
Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit
GAHUNGU, Joachim
;
SMEERS, Yves
-
Center for Operations Research and Econometrics (CORE), …
-
2011
This paper considers the problem of the optimal timing of the exchange of the sum of n geometric Brownian motions for the sum of m others. We propose a closed form determinable stopping time based on the heuristic principle of smooth fit. We cannot prove that this stopping time is optimal....
Persistent link: https://www.econbiz.de/10010610471
Saved in:
6
Sufficient and necessary conditions for perpetual multi-assets exchange options
GAHUNGU, Joachim
;
SMEERS, Yves
-
Center for Operations Research and Econometrics (CORE), …
-
2011
of m others (e.g., the optimal time to exchange a
geometric
Brownian
motion
for a geometric mean reverting process). We …
Persistent link: https://www.econbiz.de/10010610493
Saved in:
7
Optimal prediction of resistance and support levels
De Angelis, Tiziano
;
Peskir, Goran
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 465-483
Persistent link: https://www.econbiz.de/10011704271
Saved in:
8
The British lookback option with fixed strike
Kitapbayev, Yerkin
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 238-260
Persistent link: https://www.econbiz.de/10011436202
Saved in:
9
The British Asian Option
Glover, Kristoffer
;
Peskir, Goran
;
Samee, Farman
-
Finance Discipline Group, Business School
-
2009
-free price, rational exercise boundary, liquid/illiquid market,
geometric
Brownian
motion
, the Shiryaev process, optimal stopping …
Persistent link: https://www.econbiz.de/10004984481
Saved in:
10
The Russian option: Finite horizon
Peskir, Goran
- In:
Finance and Stochastics
9
(
2005
)
2
,
pp. 251-267
We show that the optimal stopping boundary for the Russian option with finite horizon can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premium representation (an explicit formula for the arbitrage-free price in terms of the optimal...
Persistent link: https://www.econbiz.de/10005759636
Saved in:
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