Pricing American drawdown options under Markov models
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 …
historical maximum. This paper considers the pricing problem of perpetual American style …
Collective progress: Dynamics of exit waves
We introduce a framework for studying collective search by teams. Discoveries are
correlated over time and governed by a Brownian path, where search speed is jointly …
correlated over time and governed by a Brownian path, where search speed is jointly …
Optimal stopping problems for maxima and minima in models with asymmetric information
PV Gapeev, L Li - Stochastics, 2022 - Taylor & Francis
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 …
perpetual American withdrawable standard and lookback put and call options in an …
Optimal double stopping problems for maxima and minima of geometric Brownian motions
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 …
representing linear functions of the running maxima and minima of a geometric Brownian …
Three-dimensional Brownian motion and the golden ratio rule
Abstract Let X=(X_t)_t\ge0 be a transient diffusion process in (0,∞) with the diffusion
coefficient σ>0 and the scale function L such that X_t→∞ as t→∞, let I_t denote its running …
coefficient σ>0 and the scale function L such that X_t→∞ as t→∞, let I_t denote its running …
Double continuation regions for American options under Poisson exercise opportunities
We consider the Lévy model of the perpetual American call and put options with a negative
discount rate under Poisson observations. Similar to the continuous observation case, the …
discount rate under Poisson observations. Similar to the continuous observation case, the …
Perpetual American standard and lookback options with event risk and asymmetric information
PV Gapeev, L Li - SIAM Journal on Financial Mathematics, 2022 - SIAM
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 …
lookback put and call options in an extension of the Black--Merton--Scholes model with …
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
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 …
running maximum of a geometric Brownian motion with payoffs switching according to the …
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
PV Gapeev, N Rodosthenous - Journal of Applied Probability, 2014 - cambridge.org
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 of …
an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of …
A capped optimal stopping problem for the maximum process
A Kyprianou, C Ott - Acta Applicandae Mathematicae, 2014 - Springer
This paper concerns an optimal stopping problem driven by the running maximum of a
spectrally negative Lévy process X. More precisely, we are interested in capped versions of …
spectrally negative Lévy process X. More precisely, we are interested in capped versions of …