Author:
Lai Tze Leung,Yao Yi-Ching,Aitsahlia Farid
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.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability