103 citations
- University of CoimbraPT25 papers
- Kōchi UniversityJP24 papers
- University of KochiJP10 papers
- The University of OsakaJP7 papers
- Technical University of DenmarkDK4 papers
- Kyoto UniversityJP3 papers
- Nagoya UniversityJP3 papers
- Nihon UniversityJP3 papers
- Chiba UniversityJP2 papers
- National Institute for Materials ScienceJP2 papers
- Spintronics Research Network of JapanJP2 papers
- Tokyo Denki UniversityJP2 papers
Showing math.OCShow all
2 papers · 1 filter
math.OC2020
Double continuation regions for American options under Poisson exercise opportunities
Zbigniew Palmowski, José Luis Pérez, Kazutoshi Yamazaki
We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in…
math.OC2014
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…