4 papers
Optimal stopping of Gauss-Markov bridges
Abel Azze, Bernardo D'Auria, Eduardo GarcÃa-Portugués
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundar…
Optimal portfolios with anticipating information on the stochastic interest rate
Bernardo D'Auria, José Antonio Salmerón
By employing the technique of enlargement of filtrations, we demonstrate how to incorporate information about the future trend of the stochastic interest rate process into a financ…
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo GarcÃa-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion often adopted by practitioners…
Optimal stopping of an Ornstein-Uhlenbeck bridge
Abel Azze, Bernardo D'Auria, Eduardo GarcÃa-Portugués
We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bri…