Generalised optimal stopping problems and financial markets
著者
書誌事項
Generalised optimal stopping problems and financial markets
（Pitman research notes in mathematics series, 358）
Longman, 1996
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注記
Includes bibliographical references (p. 111-114)
内容説明・目次
内容説明
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.
目次
1 Preliminary, 2 Optimal Stopping Problems, 3 Financial Markets, 4 Options - A General View, 5 Options - Constrained Exercise Times,
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