A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier
In this paper, we study the optimal stopping-time problems related to a class of Itô diffusions, modeling for example an investment gain, for which the terminal value is a priori known. This could be the case of an insider trading or of the pinning at expiration of stock options. We give th...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-01-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/1/123 |