Optimal stopping problems with applications to finance
This thesis considers several optimal stopping problems motivated by mathematical fi- nance, using the so-called martingale and Markov approaches for optimal stopping prob- lems. We first extend the pricing problem for American options under geometric Brownian motion models to a wider range of payof...
| Main Author: | |
|---|---|
| Published: |
University of Nottingham
2012
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576154 |