Some optimal stopping problems with nontrivial boundaries for pricing exotic options

By Xin Guo, L. Shepp. Journal of Applied Probability, 2001

85 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/71a841d5dfe5ab7dcc16dce9961330765102c186

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Abel Cadenillas
2. Pavel V. Gapeev
3. Luz R. Sotomayor

In Finance

1. Abel Cadenillas
2. Pavel V. Gapeev
3. Luz R. Sotomayor

Citations in the corpus

• EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009, background): “Option pricing in financial markets with regime switching has been studied, for instance, by Guo (2001), Guo and Shepp (2001), Buffington and Elliott (2002), Mamon and Rodrigo (2005), Guo and Zhang (2004), Yao, Zhang, and Zhou (2006), Di Graziano and Rogers (2006), and Jobert and Rogers (2006).”
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes (2007, background): “Observe that, when K = 0, (2.4) and (5.1) turn into the classical Russian option problem introduced and explicitly solved by Shepp and Shiryaev [30] by means of reducing the initial problem to an optimal stopping problem for a (continuous) two-dimensional Markov process and then solving the latter p”