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A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier
In this paper, we study the optimal stopping-time problems related to a class of Itô diffusions, modeling for example an investment gain, for which the terminal value is a priori known. This could be the case of an insider trading or of the pinning at expiration of stock options. We give th...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2020-01-01
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| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/8/1/123 |
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