{
  "id": "1707.02524",
  "version": "v1",
  "published": "2017-07-09T04:53:32.000Z",
  "updated": "2017-07-09T04:53:32.000Z",
  "title": "Some results on optimal stopping problems for one-dimensional regular diffusions",
  "authors": [
    "Dongchao Huang",
    "Jian Song"
  ],
  "comment": "34 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "For a type of employee stock option (ESO) and American put options with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison principles for the critical levels and value functions are also given. This work is inspired by the characterization of the value functions for general one-dimensional regular diffusion processes developed in \\cite{DK03} by Dayanik and Karatzas.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-07-09T04:53:32.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "optimal stopping problems",
      "value functions",
      "general one-dimensional regular diffusion processes",
      "employee stock option",
      "optimal stopping/continuation regions"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 34,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}