Elementary Proofs on Optimal Stopping

@inproceedings{Mordecki2000ElementaryPO,
  title={Elementary Proofs on Optimal Stopping},
  author={Ernesto Mordecki},
  year={2000}
}
Abstract Elementary proofs of classical theorems on pricing perpetual call and put options in the standard Black-Scholes model are given. The method presented does not rely on stochastic calculus and is also applied to give prices and optimal stopping rules for perpetual call options when the stock is driven by a Levy process with no positive jumps, and for perpetual put options for stocks driven by a Levy process with no negative jumps 

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