Analytic solution for American barrier options with two barriers (Q458329): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6351999
@@ Property / zbMATH DE Number: 6351999 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+analytic solution
@@ Property / zbMATH Keywords: analytic solution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option
@@ Property / zbMATH Keywords: American option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+barriers
@@ Property / zbMATH Keywords: barriers / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+chained option
@@ Property / zbMATH Keywords: chained option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal exercise
@@ Property / zbMATH Keywords: optimal exercise / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2014.08.047
+Normal rank
@@ Property / OpenAlex ID @@
+W2050193013
@@ Property / OpenAlex ID: W2050193013 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel dual approach for pricing American style derivatives
+Normal rank
@@ Property / cites work @@
+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of American barrier options using the decomposition technique
+Normal rank
@@ Property / cites work @@
+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Cross a barrier to reach barrier options
@@ Property / cites work: Cross a barrier to reach barrier options / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING CHAINED OPTIONS WITH CURVED BARRIERS
@@ Property / cites work: PRICING CHAINED OPTIONS WITH CURVED BARRIERS / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of American partial barrier options
@@ Property / cites work: Valuation of American partial barrier options / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:458329