A general method for finding the optimal threshold in discrete time
Author:
Affiliation:
1. Department of Mathematics, Research Group Statistics and Stochastic Processes, Universität Hamburg, Hamburg, Germany
2. Mathematisches Seminar, Christian-Albrechts-Universität, Kiel, Germany
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2018.1541991
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1. Some remarks on first passage of Lévy processes, the American put and pasting principles
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