article Open Access
Optimal stopping problem of American put options for the diffusion risk model
International Journal of Statistics and Applied Mathematics · 2021 · Vol. 6(1) · pp. 181–187
Abstract
This paper investigates the optimal stopping problem of American put options for the diffusion risk model. First of all, by using the relevant conclusions of the first hitting time of diffusion risk model, the optimal stopping problem formulation can be obtained. Then, the optimal value function and the optimal trading time of the American put option are obtained. Finally, numerical examples are given to illustrate the applications of the optimal stopping problem for American put options.
Stochastic processes and financial applicationsInsurance, Mortality, Demography, Risk ManagementOptimal stoppingStopping timeBellman equationDiffusionMathematical optimizationFunction (biology)Value (mathematics)Optimal controlComputer scienceMathematical economics
Citations
0
FWCI
0.00
field-weighted impact
References
4
Percentile
6%
vs. same field & year
Citation Network
How this paper connects to the literature. Drag to explore, click any node to open that paper.