17 citations · 61 across the 17 of their papers we have counts for
6 papers · 1 filter
On the applicability of the maximality principle in optimal stopping: an example involving a diffusion and its running maximum
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has proved to be a valuable tool for identifying the optimal stopping boundaries in optimal stopping problems involving one-dimensional time-homogeneous di…
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
José Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and…
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…
Watermark Options
Neofytos Rodosthenous, Mihail Zervos
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solu…
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates…