An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems
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References listed on IDEAS
- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- Alexander Novikov & Albert Shiryaev, 2004. "On an Effective Solution of the Optimal Stopping Problem for Random Walks," Research Paper Series 131, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Peter Carr & Robert Jarrow & Ravi Myneni, 2008.
"Alternative Characterizations Of American Put Options,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103
World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
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More about this item
KeywordsOptimal stopping; finite horizon; diffusion process; upper and lower bounds; Black-Scholes model; American put option; Asian option; Russian option; Bayesian sequential testing problem; disorder detection problem;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-27 (All new papers)
- NEP-FIN-2006-05-27 (Finance)
- NEP-SEA-2006-05-27 (South East Asia)
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