Pricing of European currency options considering the dynamic information costs
Dynamic costs arising from the variable impact of information on asset pricing present a
challenge for accurate European currency option pricing. The Garman and Kohlhagen …
challenge for accurate European currency option pricing. The Garman and Kohlhagen …
Optimal double stopping problems for maxima and minima of geometric Brownian motions
We present closed-form solutions to some double optimal stopping problems with payoffs
representing linear functions of the running maxima and minima of a geometric Brownian …
representing linear functions of the running maxima and minima of a geometric Brownian …
Perpetual American standard and lookback options with event risk and asymmetric information
PV Gapeev, L Li - SIAM Journal on Financial Mathematics, 2022 - SIAM
We derive closed-form solutions to the perpetual American standard and floating-strike
lookback put and call options in an extension of the Black--Merton--Scholes model with …
lookback put and call options in an extension of the Black--Merton--Scholes model with …
Last-passage American cancelable option in Lévy models
Z Palmowski, P Stȩpniak - Journal of Risk and Financial Management, 2023 - mdpi.com
We derive the explicit price of the perpetual American put option canceled at the last-
passage time of the underlying above some fixed level. We assume that the asset process is …
passage time of the underlying above some fixed level. We assume that the asset process is …
Discounted optimal stopping problems in first-passage time models with random thresholds
PV Gapeev, H Al Motairi - Journal of Applied Probability, 2022 - cambridge.org
We derive closed-form solutions to some discounted optimal stopping problems related to
the perpetual American cancellable dividend-paying put and call option pricing problems in …
the perpetual American cancellable dividend-paying put and call option pricing problems in …
Perpetual American double lookback options on drawdowns and drawups with floating strikes
PV Gapeev - Methodology and Computing in Applied Probability, 2022 - Springer
We present closed-form solutions to the problems of pricing of the perpetual American
double lookback put and call options on the maximum drawdown and the maximum drawup …
double lookback put and call options on the maximum drawdown and the maximum drawup …
Task offloading in mobile edge computing using cost-based discounted optimal stopping
S ALFahad, Q Wang, C Anagnostopoulos… - Open Computer …, 2024 - degruyter.com
Mobile edge computing (MEC) paradigm has emerged to improve the quality of service &
experience of applications deployed in close proximity to end-users. Due to their restricted …
experience of applications deployed in close proximity to end-users. Due to their restricted …
The Russian option with a random time horizon
Z Wu, L Li - arXiv preprint arXiv:2211.13917, 2022 - arxiv.org
This paper is intended to provide a unique valuation formula for the Russian option with a
random time horizon; in particular, such option restricts its holders to make their stopping …
random time horizon; in particular, such option restricts its holders to make their stopping …
OPTIMAL STOPPING PROBLEMS WITH A RANDOM TIME HORIZON.
Z Wu - Bulletin of the Australian Mathematical Society, 2023 - search.ebscohost.com
The article presents the discussion on theory of optimal stopping providing a powerful set of
tools for the study of the American contingent claim pricing problem in mathematical finance …
tools for the study of the American contingent claim pricing problem in mathematical finance …
Discounted optimal stopping zero-sum games in diffusion-type models with maxima and minima
PV Gapeev - Advances in Applied Probability, 2024 - eprints.lse.ac.uk
We present closed-form solutions to a discounted optimal stopping zero-sum game in a
model with a generalised geometric Brownian motion with coecients depending on its …
model with a generalised geometric Brownian motion with coecients depending on its …