Investors decide the best time to take a given action by maximizing their utility function while
taking into account current information and the underlying process in the optimal stop** …

We derive closed-form solutions to optimal stop** problems related to the pricing of
perpetual American withdrawable standard and lookback put and call options in an …

We present closed-form solutions to some double optimal stop** problems with payoffs
representing linear functions of the running maxima and minima of a geometric Brownian …

We derive closed-form solutions to the perpetual American standard and floating-strike
lookback put and call options in an extension of the Black--Merton--Scholes model with …

We present closed-form solutions to some discounted optimal stop** problems for the
running maximum of a geometric Brownian motion with payoffs switching according to the …

We study perpetual American option pricing problems in an extension of the Black–Merton–
Scholes model in which the dividend and volatility rates of the underlying risky asset depend …

We obtain closed-form expressions for the values of joint Laplace transforms of the running
maximum and minimum of a diffusion-type process stopped at the first time at which the …

We derive the explicit price of the perpetual American put option canceled at the last-
passage time of the underlying above some fixed level. We assume that the asset process is …

We derive closed-form solutions to some discounted optimal stop** problems related to
the perpetual American cancellable dividend-paying put and call option pricing problems in …

We study a class of singular stochastic control problems for a one-dimensional diffusion $ X
$ in which the performance criterion to be optimised depends explicitly on the running …