Browsing ETD Collection by Author "Uys, Nadia"

DSpace/Manakin Repository

Browsing ETD Collection by Author "Uys, Nadia"

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  • Uys, Nadia (2006-04-24)
    The superharmonic characterization of the value function is proved, under the assumption that an optimal stopping time exists. The fair price of an American contingent claim is established as an optimal stopping problem. ...

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