A new integral equation for Brownian stopping problems with finite time horizon
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DOI: 10.1016/j.spa.2023.05.004
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References listed on IDEAS
- Stadje, Wolfgang, 1987. "An optimal stopping problem with finite horizon for sums of I.I.D. random variables," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 107-121.
- Goran Peskir, 2005. "On The American Option Problem," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 169-181, January.
- Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
- Christensen, Sören & Crocce, Fabián & Mordecki, Ernesto & Salminen, Paavo, 2019. "On optimal stopping of multidimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2561-2581.
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- Christensen, Sören & Fischer, Simon & Hallmann, Oskar, 2023. "Uniqueness of first passage time distributions via Fredholm integral equations," Statistics & Probability Letters, Elsevier, vol. 203(C).
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Keywords
Brownian motion; Optimal stopping; Finite time horizon; American option; Fredholm integral representation; Mixture of Gaussian random variables;All these keywords.
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