| dc.contributor.author | Gapeev, PV | en_US |
| dc.contributor.author | Rodosthenous, N | en_US |
| dc.date.accessioned | 2016-09-14T14:54:07Z | |
| dc.date.available | 2016-01-11 | en_US |
| dc.date.issued | 2016-07 | en_US |
| dc.date.submitted | 2016-07-23T08:22:16.518Z | |
| dc.identifier.issn | 0304-4149 | en_US |
| dc.identifier.uri | http://qmro.qmul.ac.uk/xmlui/handle/123456789/15357 | |
| dc.description.sponsorship | This research was supported by a Small Grant from the Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) at the London School of Economics and Political Science. | en_US |
| dc.format.extent | 2038 - 2061 | en_US |
| dc.relation.ispartof | STOCHASTIC PROCESSES AND THEIR APPLICATIONS | en_US |
| dc.rights | http://dx.doi.org/10.1016/j.spa.2016.01.003 | |
| dc.subject | Multi-dimensional optimal stopping problem | en_US |
| dc.subject | Brownian motion | en_US |
| dc.subject | Running maximum and running maximum drawdown process | en_US |
| dc.subject | Free-boundary problem | en_US |
| dc.subject | Instantaneous stopping and smooth fit | en_US |
| dc.subject | Normal reflection | en_US |
| dc.subject | A change-of-variable formula with local time on surfaces | en_US |
| dc.subject | Perpetual American options | en_US |
| dc.title | Perpetual American options in diffusion-type models with running maxima and drawdowns | en_US |
| dc.type | Article | |
| dc.rights.holder | Copyright © 2016 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1016/j.spa.2016.01.003 | en_US |
| pubs.author-url | http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000375176700006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=612ae0d773dcbdba3046f6df545e9f6a | en_US |
| pubs.issue | 7 | en_US |
| pubs.notes | Not known | en_US |
| pubs.publication-status | Published | en_US |
| pubs.volume | 126 | en_US |
