Authors
Henrik Jönsson, Alexander Kukush, Dmitrii Silvestrov
Publication date
2005
Journal
Theory of Probability and Mathematical Statistics
Volume
72
Pages
42-53
Description
The paper presents results of theoretical studies of optimal stopping domains of American type options in discrete time. Sufficient conditions on the payoff functions and the price process for the optimal stopping domains to have one-threshold structure are given. We consider monotone, convex and inhomogeneous-in-time payoff functions. The underlying asset's price is modelled by an inhomogeneous discrete time Markov process.
Total citations
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Scholar articles
H Jönsson, A Kukush, D Silvestrov - Theory of Probability and Mathematical Statistics, 2005
H Jönsson, A Kukush, D Silvestrov - Theory of Probability and Mathematical Statistics, 2006