Generalized Optimal Stopping Problems and Financial Markets Dennis Wong, D. Wong

Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented. Это и многое другое вы найдете в книге Generalized Optimal Stopping Problems and Financial Markets (Dennis Wong, D. Wong)