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- W3100336036 abstract "We consider a pair $(X,Y)$ of stochastic processes satisfying the equation $dX=a(X)Y,dB$ driven by a Brownian motion and study the monotonicity and continuity in $y$ of the value function $v(x,y)=sup_{tau}E_{x,y}[e^{-qtau}g(X_{tau})]$, where the supremum is taken over stopping times with respect to the filtration generated by $(X,Y)$. Our results can successfully be applied to pricing American options where $X$ is the discounted price of an asset while $Y$ is given by a stochastic volatility model such as those proposed by Heston or Hull and White. The main method of proof is based on time-change and coupling." @default.
- W3100336036 created "2020-11-23" @default.
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- W3100336036 date "2014-08-01" @default.
- W3100336036 modified "2023-10-12" @default.
- W3100336036 title "Monotonicity of the value function for a two-dimensional optimal stopping problem" @default.
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- W3100336036 doi "https://doi.org/10.1214/13-aap956" @default.
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