Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25124 
Year of Publication: 
2006
Series/Report no.: 
SFB 649 Discussion Paper No. 2006,043
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Abstract: 
A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation converges in a finite number of steps and delivers in each step a lower or an upper bound for value of discretized problem on the whole time interval. The remarks on the application of the method for solving integral equations related to some optimal stopping problems are given.
Document Type: 
Working Paper

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