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Gapeev, Pavel V.
Reiß, Markus
Year of Publication: 
Series/Report no.: 
SFB 649 discussion paper 2005,005
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

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