2 papers
math.PR2023
Optimal Stopping with Randomly Arriving Stopping Opportunities
Josha A. Dekker, Roger J. A. Laeven, John G. M. Schoenmakers +1
We develop simulation-based methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in a wide variety of a…
q-fin.PR2012
Libor model with expiry-wise stochastic volatility and displacement
Marcel Ladkau, John G. M. Schoenmakers, Jianing Zhang
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. T…