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Boyarchenko / Levendorskii

Irreversible Decisions under Uncertainty

Optimal Stopping Made Easy
2007. Buch. xvi, 285 S.: Bibliographien. Hardcover
Springer ISBN 978-3-540-73745-2
Format (B x L): 15,5 x 23,5 cm
Gewicht: 1330 g
In englischer Sprache
Das Werk ist Teil der Reihe:
Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.

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Research

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Presents an alternative approach to optimal stopping problems The Approach can be used to many problems in finance and economics