Flåm, Sjur Didrik (contributor) - 2007
∈ P
t+1
, t<T,is contained in
a unique ancestor A(P
t+1
)=P
t
∈P
t
; see figure below.
Since no conclusive knowledge about …
. Progressive acquisition of knowledge reflects in the
string
{∅,S} := F
0
⊆ F
1
⊆ ···⊆ F
T
:= 2
S
,
called a filtration … Pricing by Mathematical Programming 19
mensional American options, Management Science 50, 9, 1222-1234 (2004).
[2] J.-P. Aubin …