2014/07/25 by Tiziano De Angelis, De Angelis, Tiziano, Yerkin Kitapbayev +1
Economics, Econometrics and Finance · Mathematics · Social Sciences · #35R35 #60G40 #60J60 #91G20 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications #math.OC #math.PR #msc:35R35 #msc:60G40 #msc:60J60 #msc:91G20 #q-fin.MF #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1407.6860
30 pages, 4 figures, added a figure
openalex publication_date 2014/07/25 · arxiv created 2017/01/08 · arxiv updated 2017/01/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of "put" type and the underlying dynamics follows a geometric Brownian motion. The optimal stopping region relative to each optimal stopping time is described in terms of two boundaries which are continuous, monotonic functions of time and uniquely solve a system of coupled integral equations of Volterra-type. Finally we provide a formula for the value function of the problem.