Structure of optimal stopping strategies for American type options (Q2724699)
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scientific article; zbMATH DE number 1618140
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structure of optimal stopping strategies for American type options |
scientific article; zbMATH DE number 1618140 |
Statements
12 July 2001
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Markov process
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optimal stopping
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American call options
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convex pay-off function
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Structure of optimal stopping strategies for American type options (English)
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An alternative approach for the evaluation of optimal stopping in a discrete time model, in the case of American call options and in the case of piecewise linear convex pay-off function (the case of an arbitrary convex pay-off function) is used. This approach is much more flexible relative to the modifications of models. Detailed presentation of the theorems are given.NEWLINENEWLINEFor the entire collection see [Zbl 0959.00019].
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