On Optimal Stopping

Elementary Proofs on Optimal Stopping

Abstract Elementary proofs of classical theorems on pricing perpetual call and put options in the standard Black-Scholes model are given. The method presented does not rely on stochastic calculus and is also applied to give prices and optimal stopping rules for perpetual call options when the stock is driven by a Lévy process with no positive jumps, and for perpetual put options for stocks driv...

Optimal Stopping and Losses on Subprime Mortgages

Lender losses on mortgage loans arise from a two-stage process. In the first stage, the borrower stops making payments if and when default is optimal. The second stage is a lengthy and costly period during which the lender employs legal remedies to obtain possession and execute a sale of the collateral. This research uses data on subprime mortgage losses to explore the role of borrower and coll...

On a simple optimal stopping problem

L.A. Shepp has posed aild analyzed the problem of optimal random drawinp with Jut replacement from an urn containing predetermined numbers of plus and minus balls. ;Here Shepp’s results are extended by improving the bounds on value; of penturbeu urns, deriving an exact algorithm for the urn values and computing the stopping boundary for urns of u-, tn 200 balls.

Optimal Stopping on Patterns in Strings Generated

On approximative solutions of optimal stopping problems

In this paper some extensions are given of the method to approximate optimal discrete time stopping problems by related limiting stopping problems for Poisson type processes. In particular we establish detailed results for the solutions of the differential equations characterizing the optimal stopping curves in the limiting stopping problem. These allow to determine explicit approximative optim...