Discussion on "An effective method for the explicit solution of sequential problems on the real line" by Sören Christensen. Issue 1 (2nd January 2017)

• Record Type: Journal Article
• Authors: Buonaguidi, Bruno
• Is Part Of: Sequential analysis. Volume 36:Issue 1(2017)
• Page Start: 24
• Page End: 26
• Publication Date: 2017-01-02
• Subjects: Free-boundary problem -- geometric Brownian motion -- optimal stopping -- perpetual American put option; 60G40 -- 62L15 -- 35R35; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2016.1275317
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: Let be a geometric Brownian motion, ℙ x be the probability measure under which X starts at x >0, and T be an exponential random variable independent of X . Using the very interesting results presented by Professor Christensen and exploiting the free-boundary problem solution for the optimal exercise of a perpetual American put option, we provide an alternative way to derive the well-known quantity .