Corrected random walk approximations to free boundary problems in optimal stopping

Authors
Lai, Tze Leung Yao, Yi-Ching Aitsahlia, Farid
Citation
Lai, Tze Leung et al., Corrected random walk approximations to free boundary problems in optimal stopping, Advances in applied probability , 39(2), 2007, pp. 753-775
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
39
Issue
2
Year of publication
2007
Pages
753 - 775
Database
ACNP
SICI code
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.