The value of foresight
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Publication:1679467
DOI10.1016/j.spa.2017.03.019zbMath1374.60075arXiv1601.05872OpenAlexW2963606076MaRDI QIDQ1679467
Quan Zhou, Philip A. Ernst, L. C. G. Rogers
Publication date: 9 November 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.05872
Brownian motioninsider tradingexcursion processesBermudan fixed-window lookback optionexplicit stopping rules
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (2)
Cites Work
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