Optimal double stopping problems for maxima and minima of geometric Brownian motions

Gapeev, Pavel, Kort, Peter, Lavrutich, Maria et al. (1 more author) (2022) Optimal double stopping problems for maxima and minima of geometric Brownian motions. Methodology and Computing in Applied Probability. pp. 789-813. ISSN: 1573-7713

Metadata

Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information:

© The Author(s) 2022
Dates:
  • Accepted: 8 April 2022
  • Published (online): 14 May 2022
  • Published: June 2022
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
Depositing User: Pure (York)
Date Deposited: 20 Apr 2022 08:40
Last Modified: 20 Sep 2025 01:46
Published Version: https://doi.org/10.1007/s11009-022-09959-w
Status: Published
Refereed: Yes
Identification Number: 10.1007/s11009-022-09959-w
Open Archives Initiative ID (OAI ID):

Download

Published Version

Filename: 2022_MethCompProb_Gapeev_Kort_Lavrutich_Thijssen.pdf

Description: 2022_MethCompProb_Gapeev_Kort_Lavrutich_Thijssen

Licence: CC-BY 2.5

CLICK TO DOWNLOAD [thumbnail of 2022_MethCompProb_Gapeev_Kort_Lavrutich_Thijssen]

Export

Statistics


CORE (COnnecting REpositories)