Bounds for expected payoff on two stocks

DOI10.14708/ma.v48i1.6511zbMath1499.60131MaRDI QIDQ5062342

Cloud Makasu

Publication date: 15 March 2022

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v48i1.6511

zbMATH Keywords

optimal stopping problem; stock price processes

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

62L15: Optimal stopping in statistics