Sören, Christensen; Albrecht, Irle - In: Statistics & Risk Modeling 30 (2013) 3, pp. 237-254
We introduce a class of optimal stopping problems in which the gain is at least a fraction of the initial value. From a financial point of view this structure can be seen as a guarantee for the holder of an American option. It turns out that the optimal strategies are of two-sided type under...