We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary...

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the...

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The model of proof is based on reducting the initial problem to a free-boundary problem and solving the latter by means of the...

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poissonprocess with exponential jumps. The method of proof is based on reducing the initialirregular optimal stopping problem to an...