Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

10.1016/j.jspi.2003.09.042

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書目詳細資料
Main Authors: Lai, T.L., Lim, T.W.
其他作者: STATISTICS & APPLIED PROBABILITY
格式: Article
出版: 2014
主題:
Bayes sequential tests
European and American options
Fre boundary problems
Heat equation
Multi-armed bandits
Singular stochastic control
在線閱讀:http://scholarbank.nus.edu.sg/handle/10635/105286
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機構: National University of Singapore
實物特徵
總結:10.1016/j.jspi.2003.09.042

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