38 citations · 108 across the 26 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.MF2017★ 1 cited
On the free boundary of an annuity purchase
Tiziano De Angelis, Gabriele Stabile
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is…
math.PR2017
A Dynkin game on assets with incomplete information on the return
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first…
math.OC2017
On Lipschitz continuous optimal stopping boundaries
Tiziano De Angelis, Gabriele Stabile
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space , . To…