Optimal Stopping Problems and American Options
Degree: Master of Science Department: Science === The superharmonic characterization of the value function is proved, under the assumption that an optimal stopping time exists. The fair price of an American contingent claim is established as an optimal stopping problem. The price of the perpetu...
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| Format: | Others |
| Language: | en |
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2006
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| Online Access: | http://hdl.handle.net/10539/350 |