Chapman and Hall/CRC
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.
Preface. Preliminary. Optimal Stopping Problems. Financial Markets. Options - a General View. Options - Constrained Exercise Times. Options - Constrained Portfolios in M. Bibliography.