Introduction to Stochastic Calculus Applied to Finance, Second Edition.
INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
CRC Press,
2011.
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| Edition: | 2nd ed. |
| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: | |
| Online Access: | CONNECT |
