In this paper we solve an optimal stopping problem in finance, particularly, optimal stopping time problem of an asset, when the state variable follows a diffusion, a compound Poisson process, and a Poisson random measure, repectively. We guess the so...
In this paper we solve an optimal stopping problem in finance, particularly, optimal stopping time problem of an asset, when the state variable follows a diffusion, a compound Poisson process, and a Poisson random measure, repectively. We guess the solution and then establish that the proposed solution is correct by verifying variational inequalities.