Optimal Stopping and Model Robustness in Mathematical Finance
Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. The solution involves finding the best possi...
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| Format: | Doctoral Thesis |
| Language: | English |
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Uppsala universitet, Matematiska institutionen
2008
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9516 http://nbn-resolving.de/urn:isbn:978-91-506-2039-9 |