Advanced Option Pricing

A3. Recall under physical measure P, S+ = Soelk-)t+oW! (i) Consider the optimal stopping problem under physical measure P, V := sup E[S-], ), where the supremum is over bounded stopping times. Find the relation between ji and o so that V = 0. (ii) Using the fact lim0 W = 0 P-a.s, find the relation between ji and o so that limt St = 0 P-a.s.. Is this relation excluded from that obtained in part (i)? A3. Recall under physical measure P, S+ = Soelk-)t+oW! (i) Consider the optimal stopping problem under physical measure P, V := sup E[S-], ), where the supremum is over bounded stopping times. Find the relation between ji and o so that V = 0. (ii) Using the fact lim0 W = 0 P-a.s, find the relation between ji and o so that limt St = 0 P-a.s.. Is this relation excluded from that obtained in part (i)