Generalized Optimal Stopping Problems and Financial Markets

Generalized Optimal Stopping Problems and Financial Markets

by Dennis Wong

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Overview

Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented.

Product Details

ISBN-13: 9781351445818
Publisher: CRC Press
Publication date: 11/22/2017
Sold by: Barnes & Noble
Format: NOOK Book
Pages: 128
File size: 3 MB

Table of Contents

Preface. Preliminary. Optimal Stopping Problems. Financial Markets. Options - a General View. Options - Constrained Exercise Times. Options - Constrained Portfolios in M. Bibliography.

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