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Corrected random walk approximations to free boundary problems in optimal stopping
Published online by Cambridge University Press: 01 July 2016
Abstract
Corrected random walk approximations to continuous-time optimal stopping boundaries for Brownian motion, first introduced by Chernoff and Petkau, have provided powerful computational tools in option pricing and sequential analysis. This paper develops the theory of these second-order approximations and describes some new applications.
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- General Applied Probability
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- Copyright © Applied Probability Trust 2007
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