Abstract
In this chapter we formalize the notion of a rule for deciding when to stop playing a game. This type of problem will arise in a natural way in connection with the optimal exercise of American options.
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© 2003 Springer Basel AG
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Chung, K.L. (2003). Optimal Stopping. In: Mathematical Finance and Probability. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8041-1_15
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DOI: https://doi.org/10.1007/978-3-0348-8041-1_15
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-7643-6921-7
Online ISBN: 978-3-0348-8041-1
eBook Packages: Springer Book Archive