We consider a robust version of the full information best choice problem (Gilbert and Mosteller (1966)): there is ambiguity (represented by a set of priors) about the measure driving the observed process. We solve the problem under a very general class of multiple priors in the setting of Riedel...

The value and the optimal exercise time of the perpetual American straddle is characterized by the unique solution of a single non-linear equation with one unknown variable.