A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options (Q5456303): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Properties of American option prices / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimal stopping and American options with discrete dividends and exogenous risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A nonlinear partial differential equation for american options in the entire domain of the state variable / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A semilinear Black and Scholes partial differential equation for valuing American options / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: User’s guide to viscosity solutions of second order partial differential equations / rank | |||
Normal rank | |||
Revision as of 19:56, 27 June 2024
scientific article; zbMATH DE number 5260878
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options |
scientific article; zbMATH DE number 5260878 |
Statements
A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options (English)
0 references
4 April 2008
0 references
optimal stopping
0 references
American options
0 references
semilinear Black-Scholes partial differential equation
0 references
viscosity solution
0 references
0 references
0 references
