Irreversible Decisions under Uncertainty: Optimal Stopping Made Easy |
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| Author:
| Boyarchenko, Svetlana
Levendorskii, Sergei |
| Series title: | Studies in Economic Theory Ser. |
| ISBN: | 978-1-281-04572-0 |
| Publication Date: | Jan 2010 |
| Publisher: | Springer
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| Book Format: | Ebook |
| List Price: | USD $298.00 |
Book Description:
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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.
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.