Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
, Asian option, Russian option,
Bayesian sequential testing problem, disorder detection problem.
1 …
American put and Asian options in Black-Scholes models as well as on the flnite
horizon Bayesian sequential testing and … Wiener sequential testing problem with flnite horizon
[29; Chapter IV, Section 3], [6]). Suppose that in (2.2) we have G …