| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4627976 | Applied Mathematics and Computation | 2014 | 4 Pages |
Abstract
This paper treats a class of double optimal stopping problems arising in the pricing of integral options. Under certain conditions, we give an explicit form of the double stopping time for such type of optimal stopping problems. The present results are essentially derived by solving a certain nonlinear bilevel programming problem explicitly.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Cloud Makasu,