Optimal stopping problem in a model with compensated refusal of reward (Q650415)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal stopping problem in a model with compensated refusal of reward |
scientific article; zbMATH DE number 5980768
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal stopping problem in a model with compensated refusal of reward |
scientific article; zbMATH DE number 5980768 |
Statements
Optimal stopping problem in a model with compensated refusal of reward (English)
0 references
25 November 2011
0 references
optimal stopping problem
0 references
stopping time
0 references
exponential Brownian motion
0 references
standard American option
0 references
reward function
0 references
Itô-Meyer formula
0 references
dominated convergence
0 references
0.8004053831100464
0 references
0.7936735153198242
0 references
0.7799672484397888
0 references
0.7789604067802429
0 references
