Work

Some results on optimal stopping problems for one-dimensional regular diffusions

Year: 2017

Type: preprint

Abstract: For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison principles for the critical levels and the value functions are given. This work is inspired by the characterization of the value functions for general one-dimensional regular diffusion processes developed in \cite{DK03} by Dayanik and Karatzas.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1707.02524

Authors: Huang, Dongchao, Song, Jian

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2735711484

Cites: 13

Cited by:

Related to: 10