scientific article; zbMATH DE number 973941

MaRDI QIDQ5283920zbMATH OpenFDO

Authors Dennis Pak Shing Wong

Publication date 2 February 1997

zbMATH Keywords

constrained portfoliosmathematical financeoptimal stoppingoption pricing

Mathematics Subject Classification ID

Optimal stopping in statistics (62L15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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• A new form of the early exercise premium for American type derivatives
• A new approach for pricing discounted American options
• From Disorder Detection to Optimal Stopping and Mathematical Finance
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• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
• On some generalized American style derivatives
• Stopping problems of certain multiplicative functionals and optimal investment with transaction costs

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