Some optimal stopping problems with nontrivial boundaries for pricing exotic options

Journal of Applied Probability

Volumn 38, Issue 3, 2001, Pages 647-658

  Guo, Xin ^a   Shepp, Larry ^b  

^a IBM T J WATSON RESEARCH CENTER   (United States)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Bellman equation; Black scholes model; Free boundary; Lookback options; Optimal stopping

Indexed keywords

EID: 0035438320     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1005091029     Document Type: Article

References (12)

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