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Principle Seminar of the Department of Probability Theory, Moscow State University
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Ïðåäçàùèòû äèññåðòàöèé
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About optimal stopping of the functions of asymmetrical random walk and its maximum A. Vorobiev M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics |
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Abstract: The work considers optimal stopping problems for the functions of the asymmetrical random walk and its maximum which under certain conditions can be interpreted as a search of the optimal moment for buying or selling stocks in the Cox-Ross-Rubinstein model. There found new conditions when an optimal moment corresponds to the “Buy-and-hold” strategy. |
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