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SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25024
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| Title: | | An optimal stopping problem in a diffusion-type model with delay  |
| 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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