Prefer a chat interface with context about you and your work?
Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown. The optimal stopping times of the exercise …