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A New Stopping Time Model: A Solution to a Free-Boundary Problem

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  • Moawia Alghalith

    (University of the West Indies)

Abstract

We present a new model of stopping times and American options. In so doing, we solve a free-boundary problem.

Suggested Citation

  • Moawia Alghalith, 2012. "A New Stopping Time Model: A Solution to a Free-Boundary Problem," Journal of Optimization Theory and Applications, Springer, vol. 152(1), pages 265-270, January.
    • Handle: RePEc:spr:joptap:v:152:y:2012:i:1:d:10.1007_s10957-011-9887-2
    DOI: 10.1007/s10957-011-9887-2
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    References listed on IDEAS

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    1. Erhan Bayraktar & Michael Ludkovski, 2010. "Inventory management with partially observed nonstationary demand," Annals of Operations Research, Springer, vol. 176(1), pages 7-39, April.
    2. Erhan Bayraktar & Virginia Young, 2010. "Optimal investment strategy to minimize occupation time," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.
    Full references (including those not matched with items on IDEAS)

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