Generalized Optimal Stopping Problems and Financial Markets: 1st Edition (Hardback) book cover

Generalized Optimal Stopping Problems and Financial Markets

1st Edition

By Dennis Wong

Chapman and Hall/CRC

128 pages

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Hardback: 9780582304000
pub: 1996-11-07
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Description

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.

Table of Contents

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

About the Series

Chapman & Hall/CRC Research Notes in Mathematics Series

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Subject Categories

BISAC Subject Codes/Headings:
MAT000000
MATHEMATICS / General
MAT003000
MATHEMATICS / Applied