Optimal stopping of oscillating Brownian motion
We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point x=0. Let σ1 and σ 2 denote the volatilities on the negative and positive half-lines, respectively. Our main result is that continuation region of...
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| Format: | article |
| Sprog: | engelsk |
| Udgivet: |
2019
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| Online adgang: | https://hdl.handle.net/20.500.12008/28109 |
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