Optimal Stopping

K. L. Chung

Chapter Chapter 15 in Mathematical Finance and Probability, 2003, pp 257-275 from Springer

Abstract: Abstract In this chapter we formalize the notion of a rule for deciding when to stop playing a game. This type of problem will arise in a natural way in connection with the optimal exercise of American options.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-8041-1_15

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DOI: 10.1007/978-3-0348-8041-1_15

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