Optimal double stopping of a Brownian bridge

Erik J. Baurdoux, Nan Chen, Budhi Surya and Kazutoshi Yamazak

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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 threshold type.

Keywords: Brownian bridge; optimal double stopping; buying-selling strategies (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2015-12
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Citations: View citations in EconPapers (8)

Published in Advances in Applied Probability, December, 2015, 47(4), pp. 1212-1234. ISSN: 0001-8678

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