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Optimal double stopping of a Brownian bridge
Published online by Cambridge University Press: 21 March 2016
Abstract
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of a threshold type.
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- General Applied Probability
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- Copyright © Applied Probability Trust 2015
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