On a constant related to American type options (Q3114558): Difference between revisions
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Property / cites work: The Valuation of American Options on Multiple Assets / rank | |||
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Property / cites work: A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS / rank | |||
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Property / cites work: American options on assets with dividends near expiry / rank | |||
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Property / cites work: Critical price near maturity for an American option on a dividend-paying stock. / rank | |||
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Property / cites work: Q3400716 / rank | |||
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Property / cites work: Exercise regions of American options on several assets / rank | |||
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Property / cites work: The Mathematics of Financial Derivatives / rank | |||
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Latest revision as of 21:56, 4 July 2024
scientific article
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English | On a constant related to American type options |
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On a constant related to American type options (English)
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19 February 2012
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optimal stopping
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geometric Brownian motion
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American option
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free boundary problem
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