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Optimal stopping strategies for American type options
Mälardalen University, Department of Mathematics and Physics.
Kiev University, Ukraine.
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
2004 (English)Conference paper, Published paper (Other academic)
Abstract [en]

New results on a multi-theshold structure of optimal stopping strategies for American type options for Markov type price processes are presented.
Place, publisher, year, edition, pages
2004. p. 123-
Keywords [en]
American option, optimal stopping strategy, multi-threshold structure
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-3426OAI: oai:DiVA.org:mdh-3426DiVA, id: diva2:116090
Conference
6th World Congress of Bernoulli Society for Mathematical Statistics and Probability, Barcelona, July 26--31 2004
Available from: 2008-03-04 Created: 2008-03-04 Last updated: 2025-10-10Bibliographically approved

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Silvestrov, D.S.

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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