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Statistica Sinica 7(1997), 93-108


A NEW LOOK AT OPTIMAL STOPPING PROBLEMS

RELATED TO MATHEMATICAL FINANCE


M. Beibel and H. R. Lerche


Albert-Ludwigs-Universität Freiburg


Abstract: A method is proposed to solve optimal stopping problems. Several examples - classical and new ones - are discussed. Especially, the values of American options (straddle and strangle) with infinite horizon are calculated.



Key words and phrases: Generalized parking problems, martingales, optimal stopping, perpetual options.



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