Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information (Q5097216): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 19:47, 5 March 2024
scientific article; zbMATH DE number 7574017
Language | Label | Description | Also known as |
---|---|---|---|
English | Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information |
scientific article; zbMATH DE number 7574017 |
Statements
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information (English)
0 references
22 August 2022
0 references
perpetual American standard and lookback options
0 references
optimal stopping problem
0 references
Brownian motion
0 references
first passage time
0 references
last hitting time
0 references
running maximum and minimum processes
0 references
stochastic boundary
0 references
free-boundary problem
0 references
instantaneous stopping and smooth fit
0 references
normal reflection
0 references
change-of-variable formula with local time on surfaces
0 references