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Optimal Stopping in Discrete Time

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

Abstract

Optimal stopping theory studies problems that involve determining the best time to intervene and stop a process in order to maximize expected rewards or minimize expected costs. Applications of optimal stopping theory are plentiful and include asset trading (e.g., the best time to sell an asset), derivative pricing (e.g., American options), real options theory (e.g., the best time to invest in a project), economics of gambling (e.g., when to stop gambling in a casino), and search and matching (e.g., when to stop searching and accept a job). In this chapter we briefly summarize standard optimal stopping theory in discrete time.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-030-81843-2_21
DOI: 10.1007/978-3-030-81843-2_21
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