A new look at optimal stopping problems related to mathematical finance

被引：2

作者：

Beibel, M ^{[1
]}

Lerche, HR ^{[1
]}

机构：

[1] UNIV FREIBURG,INST MATH STOCHAST,D-79104 FREIBURG,GERMANY

来源：

STATISTICA SINICA | 1997年 / 7卷 / 01期

关键词：

generalized parking problems; martingales; optimal stopping; perpetual options;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A method is proposed to solve optimal stopping problems. Several examples - classical and new ones - are discussed. Especially, the values of American options (straddle and strangle) with infinite horizon are calculated.

引用

页码：93 / 108

页数：16

共 19 条

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[2]

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[4]

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[5]

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[7]

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[10]

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