Optimal stopping rules for American and Russian options in a correlated random walk model (Q3068091)
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scientific article; zbMATH DE number 5836115
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| English | Optimal stopping rules for American and Russian options in a correlated random walk model |
scientific article; zbMATH DE number 5836115 |
Statements
Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model (English)
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13 January 2011
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correlated random walk
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directional reinforcement
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discount factor
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optimality principle
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stopping rule
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0.8935467600822449
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0.8303216099739075
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0.8249179720878601
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0.7888387441635132
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