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Matematicheskie Zametki, 2011, Volume 89, Issue 2, Pages 241–248
DOI: https://doi.org/10.4213/mzm5261 (Mi mzm5261) 		 
Optimal Stopping Problem in a Model with Compensated Refusal of Reward

R. V. Ivanov

Institute of Control Sciences, Russian Academy of Sciences
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DOI: https://doi.org/10.4213/mzm5261
Abstract: We consider the optimal stopping problem with a possible compensated refusal of reward. We discuss functionals of exponential Brownian motion. The optimal stopping time is defined on the set of all finite stopping times. The functionals under consideration correspond to payments for standard American options.
Keywords: optimal stopping problem, stopping time, exponential Brownian motion, standard American option, reward function, Itô–Meyer formula, dominated convergence.
Received: 09.07.2008
Revised: 19.04.2010
English version:
Mathematical Notes, 2011, Volume 89, Issue 2, Pages 238–244
DOI: https://doi.org/10.1134/S0001434611010299
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: R. V. Ivanov, “Optimal Stopping Problem in a Model with Compensated Refusal of Reward”, Mat. Zametki, 89:2 (2011), 241–248; Math. Notes, 89:2 (2011), 238–244
Citation in format AMSBIB
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