A note on optimal stopping of diffusions with a two-sided optimal rule

作者：Lempa Jukka^*

来源：Operations Research Letters, 2010, 38(1): 11-16.

DOI：10.1016/j.orl.2009.10.002

• Optimal stopping
• Diffusion process
• Perpetual American straddle option

We consider a class of optimal stopping problems of diffusions with a two-sided optimal rule. We propose an approach for finding and characterizing the solution. We establish that the optimal stopping rule can be associated with the unique fixed point of an auxiliary function. The results are illustrated with an explicit example.

• 出版日期2010-1