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|Title:||Optimal stopping for Brownian motion with applications to sequential analysis and option pricing||Authors:||Lai, T.L.
|Keywords:||Bayes sequential tests
European and American options
Fre boundary problems
Singular stochastic control
|Issue Date:||1-Mar-2005||Citation:||Lai, T.L., Lim, T.W. (2005-03-01). Optimal stopping for Brownian motion with applications to sequential analysis and option pricing. Journal of Statistical Planning and Inference 130 (1-2) : 21-47. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jspi.2003.09.042||Abstract:||Herman Chernoff made fundamental contributions to analytical and computational methods for solving optimal stopping problems for Brownian motion. He also showed how these optimal stopping problems are closely related to some basic problems in sequential analysis and singular stochastic control. This paper gives a survey of these and related developments and describes some recent applications to option valuation in financial economics. © 2004 Published by Elsevier B.V.||Source Title:||Journal of Statistical Planning and Inference||URI:||http://scholarbank.nus.edu.sg/handle/10635/105286||ISSN:||03783758||DOI:||10.1016/j.jspi.2003.09.042|
|Appears in Collections:||Staff Publications|
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