Algiardi, Elettra; Aliardi, Rossella - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-10
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of...
