Some results on optimal stopping problems for one-dimensional regular diffusions
Probability
2017-08-11 v2
Abstract
For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison principles for the critical levels and the value functions are given. This work is inspired by the characterization of the value functions for general one-dimensional regular diffusion processes developed in \cite{DK03} by Dayanik and Karatzas.
Cite
@article{arxiv.1707.02524,
title = {Some results on optimal stopping problems for one-dimensional regular diffusions},
author = {Dongchao Huang and Jian Song},
journal= {arXiv preprint arXiv:1707.02524},
year = {2017}
}
Comments
35 pages