Optimal stopping problem in a model with compensated refusal of reward (Q650415)
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scientific article; zbMATH DE number 5980768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping problem in a model with compensated refusal of reward |
scientific article; zbMATH DE number 5980768 |
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Optimal stopping problem in a model with compensated refusal of reward (English)
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25 November 2011
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optimal stopping problem
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stopping time
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exponential Brownian motion
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standard American option
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reward function
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Itô-Meyer formula
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dominated convergence
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