Optimal Look-ahead Stopping Rule and Its Application to American Option
碩士 === 國立彰化師範大學 === 數學系所 === 99 === A stopping rule is a nonnegative integer-valued random variable and an optimal stopping rule is a stopping rule which maximizes expectation of the underlying process. Backward induction (Chow, Robbins and Siegmund, 1971), or dubbed as the Snell envelope, provides...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/95081942287889903528 |