Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/25140
Autoren: 
Gapeev, Pavel V.
Datum: 
2006
Reihe/Nr.: 
SFB 649 Discussion Paper 2006,057
Zusammenfassung: 
We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary surface to a parabolic free-boundary problem. Using the change-of-variable formula with local time on surface we show that the optimal boundary can be characterized as a unique solution of a nonlinear integral equation. The result can be interpreted as pricing American fixed-strike lookback option in a diffusion model with finite time horizon.
Dokumentart: 
Working Paper

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