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Title:An optimal stopping problem in a diffusion-type model with delay PDF Logo
Authors:Gapeev, Pavel V.
Reiß, Markus
Issue Date:2005
Series/Report no.:SFB 649 discussion paper 2005,005
Abstract:We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the smooth-fit condition. The problem can be interpreted as pricing special perpetual average American put options in a diffusion-type model with delay.
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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