Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen

Risultato della ricerca: Contributo in rivistaArticolo in rivista

1 Citazioni (Scopus)

Abstract

Let X := (Xt)t≥0 be a geometric Brownian motion, ℙx be the probability measure under which X starts at x>0, and T be an exponential random variable independent of X. Using the very interesting results presented by Professor Christensen and exploiting the free-boundary problem solution for the optimal exercise of a perpetual American put option, we provide an alternative way to derive the well-known quantity Ex[inf0≤t≤TXt].
Lingua originaleEnglish
pagine (da-a)24-26
Numero di pagine3
RivistaSequential Analysis
Volume36
DOI
Stato di pubblicazionePubblicato - 2017

Keywords

  • Free-boundary problem
  • Modeling and Simulation
  • Statistics and Probability
  • geometric Brownian motion
  • optimal stopping
  • perpetual American put option

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