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On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

https://doi.org/10.1239/jap/1175267171
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Optimal Stopping of One-Dimensional Diffusions
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Brownian Motion and Stochastic Calculus
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Methods of Mathematical Finance
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Brownian Motion and Stochastic Calculus
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Handbook of Brownian Motion — Facts and Formulae
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Stochastic Differential Equations
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Methods of Mathematical Finance
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Les Aspects Probabilistes Du Controle Stochastique
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Irreversible investment in alternative projects
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Exercise regions of American options on several assets
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Properties of American option prices
inferredcites →https://doi.org/10.1016/s0304-4149(03)00076-0openalex-snapshot
On the optimal stopping problem for one-dimensional diffusions
inferredcites →https://doi.org/10.1023/a:1008699315785openalex-snapshot
Propagation of Convexity by Markovian and Martingalian Semigroups
inferredcites →https://doi.org/10.1090/s0002-9947-1973-0365729-0openalex-snapshot
A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
inferredcites →https://doi.org/10.1090/s0094-9000-06-00650-8openalex-snapshot
Threshold structure of optimal stopping strategies for American type option. I
inferredcites →https://doi.org/10.1111/1467-9965.00047openalex-snapshot
Robustness of the Black and Scholes Formula
inferredcites →https://doi.org/10.1112/jlms/s1-42.1.186bopenalex-snapshot
DIFFUSION PROCESSES AND THEIR SAMPLE PATHS
inferredcites →https://doi.org/10.1214/105051605000000034openalex-snapshot
On the convergence from discrete to continuous time in an optimal stopping problem
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Volatility time and properties of option prices
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Perpetual options and Canadization through fluctuation theory
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On the properties of $r$-excessive mappings for a class of diffusions
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Investment under Uncertainty
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The Value of Waiting to Invest
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Stochastic Differential Equations: An Introduction with Applications.
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Diffusion Processes and their Sample Paths.
inferredcites →https://doi.org/10.2307/2329279openalex-snapshot
Investment Under Uncertainty.

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

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