Generalized Optimal Stopping Problems and Financial Markets
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A01=Dennis Wong
American Option
Arbitrage Free Price
Asian Call Option
Author_Dennis Wong
Bermudan Options
Brownian Motion
Category=KFF
Category=PBT
Category=PBW
Continuous Local Martingale
decomposition
Dennis Wong
Discounted Stock Price Processes
doob
Doob Meyer Decomposition
Early Exercise Premium
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
European Option
Independent Brownian Motions
local
Local Martingale
Lookback Call Option
martingale
Martingale Representation Theorem
measurable
meyer
Optimal Stopping
Optimal Stopping Problem
process
progressively
Progressively Measurable Process
representation
Roll
Snell Envelope
Stochastic Calculus
Stochastic Integro Differential Equation
Stopping Region
Stopping Rule
Strike Price
theorem
Wealth Process
Product details
- ISBN 9780582304000
- Weight: 235g
- Dimensions: 178 x 254mm
- Publication Date: 07 Nov 1996
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Hardback
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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.
