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math.PR2022★ 1 cited
Optimal stopping of Gauss-Markov bridges
Abel Azze, Bernardo D'Auria, Eduardo García-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…
math.PR2022★ 2 cited
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo García-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…