Resource title

An optimal stopping problem in a diffusion-type model with delay

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Resource description

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.

Resource author

Pavel V. Gapeev, Markus ReiƟ

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25024

Resource license

Adapt according to the presented license agreement and reference the original author.