D. Hobson

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20242026

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math.PR2025

Optimal Stopping of a Brownian Excursion and an $α$ -dimensional Bessel Bridge

David Hobson, Jingfei Liu

We study the optimal stopping of an $α$ -dimensional Bessel bridge for the payoff $ϕ (x) = x^{n}$ , where $α, n > 0$ . As a special case we consider the Brownian excursion with the identity f…

q-fin.MF2025

Model-independent upper bounds for the prices of Bermudan options with convex payoffs

David Hobson, Dominykas Norgilas

Suppose $μ$ and $ν$ are probability measures on $R$ satisfying $μ \leq_{c x} ν$ . Let $a$ and $b$ be convex functions on $R$ with $a \geq b \geq 0$ . We are intereste…

Optimal Stopping of a Brownian Excursion and an α-dimensional Bessel Bridge

Model-independent upper bounds for the prices of Bermudan options with convex payoffs

Optimal Stopping of a Brownian Excursion and an $α$ -dimensional Bessel Bridge