Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1. Suppose however that we are able to see $a$ units of time into the future, and base our stopping rule on tha...
Creator:
Ernst, Philip (Rice University)
Created:
2018-06-11
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
