The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …

Investors decide the best time to take a given action by maximizing their utility function while
taking into account current information and the underlying process in the optimal stopping …

We derive closed-form solutions to optimal stopping problems related to the pricing of
perpetual American withdrawable standard and lookback put and call options in an …

We present closed-form solutions to some double optimal stopping problems with payoffs
representing linear functions of the running maxima and minima of a geometric Brownian …

We derive closed-form solutions to the perpetual American standard and floating-strike
lookback put and call options in an extension of the Black--Merton--Scholes model with …

We present closed-form solutions to some discounted optimal stopping problems for the
running maximum of a geometric Brownian motion with payoffs switching according to the …

We derive closed-form solutions to some discounted optimal stopping problems related to
the perpetual American cancellable dividend-paying put and call option pricing problems in …

We present closed-form solutions to the problems of pricing of the perpetual American
double lookback put and call options on the maximum drawdown and the maximum drawup …

We present analytic solutions to some optimal stopping problems for the running minimum of
a geometric Brownian motion with exponential positive discounting rates. The proof is based …

In this paper, we derive a variation of the Azéma martingale using two approaches—a direct
probabilistic method and another by projecting the Kennedy martingale onto the filtration …