January 29th, 2006, 8:24 pm
These might be of use:Van Moerbeke Pierre 'On Optimal Stopping & Free Boundary Problems' Archive for Rational Mechanics & Analysis 60(1975/76)Van Moerbeke Pierre 'Optimal Stopping & Free Boundary Problems' Rocky Mountain J. of Mathematics 1974 Wong D. 'Generalized Optimal Stopping Problems & Financial Markets' 97 Longman Pitman177 Springer 92 Xue X. 'Optimal Stopping of Continuous-Parameter Stochastic Processes' Proc. China-Japan Symp.Stats 84Boetius F., Michael Kohlmann 'Connections Between Optimal Stopping & Singular Stochastic Control' SP&A 77 (1998) <local time, options>Cutland Nigel et al 'Convergence of Snell Envelopes and Critical Prices in the American Put' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities'El Karoui Nicole, Ioanis Karatzas 'The Optimal Stopping Problem for a General American Put-Option' Mathematical Finance (ed) Davis SpringerFitt A., Paul Wilmott, Jeff Dewynne 'An Integral Equation for the Value of a Stop-Loss Option' Gatarek Dariusz, A. Swiech 'Optimal Stopping in Hilbert Spaces & Pricing of American Options' Math. Methods of O.R. 99Hesse C. 'Approximate Expected Hitting Times of Certain State Variables in Physics & Economics' App. Math. ModelingJacka Saul 'Optimal Stopping & the American Put' Mathematical Finance V.1, No 2 April 91 Jacka Saul, J. Lynn 'Finite Horizon Optimal Stopping,Obstacle Problems & Shape of Continutation Region' S&SR 1992Karatzas Ioannis, Hui Wang 'A Barrier Option of American Type' App. Math & Opt 2000 <optimal stopping/singular control,variational inequality>Mordecki Ernesto 'Optimal Stopping for a Compound Poisson Process with Exponential Jumps' <Amer. Options>Mordecki Ernesto 'Optimal Stopping for a Diffusion with Jumps' Finance & Stochastics 2/99, <Amer. Options>Mordecki Ernesto 'Perpetual Options for Levy Processes in the Bachelier Model' <option-perpetual, optimal stopping,American,prophet inequalities> 10/2000Mordecki Ernesto 'Ruin Probabilities & Optimal Stopping for a Diffusion with Jumps'Pham Huyen 'Optimal Stopping, Free Boundaries & American Option in a Jump-Diffusion Model' Appl. Math & Optim (97)Bank Peter 'Universal Exercise Signals for American Options: A New Approach to Optimal Stopping' Bachelier Conference 2004Bather John 'Bounds on Optimal Stopping Times for the American Put' U. Suxxex 1997 Bather John 'Optimal Stopping Problems for Brownian Motion' Advances in Appl. Prob. 1970 Battauz Anna, Maurizio Pratelli 'Optimal Stopping And American Options With Discrete Dividends And Exogenous Risk' Bachelier Conference 2004Ekstrom Erik 'Convexity Of The Optimal Stopping Boundary For The American Put Option' Bachelier Conference 2004Guo Xin, Larry Shepp 'Some Optimal Stopping Problems with Non-Trivial Boundaries for Pricing Exotic Options' J. Appl. Prob. 2002Marcozzi Michael, S. Choi, C.S. Chen 'RBF & Optimal Stopping Problems;An Application to the Pricing of Vanilla Options on One Risky Asset' Boundary Element Tech. XIV, ed. C. Chen 'Computational Mechanics Pub' 1999Mordecki Ernesto 'Optimal Stopping & Perpetual Options for Levy Proceses' F&S 2002