ON THE AMERICAN OPTION PROBLEM (Q5464339): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00214.x / rank | |||
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| Property / OpenAlex ID: W3124827703 / rank | |||
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| Property / cites work: Q4368791 / rank | |||
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| Property / cites work: On integral equations arising in the first-passage problem for Brownian motion / rank | |||
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| Property / cites work: Q3244632 / rank | |||
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| Property / cites work: On optimal stopping and free boundary problems / rank | |||
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Latest revision as of 15:20, 10 June 2024
scientific article; zbMATH DE number 2195376
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON THE AMERICAN OPTION PROBLEM |
scientific article; zbMATH DE number 2195376 |
Statements
ON THE AMERICAN OPTION PROBLEM (English)
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17 August 2005
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arbitrage-free price
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optimal stopping
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smooth fit
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geometric Brownian motion
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free-boundary problem
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nonlinear integral equation
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local time-space calculus
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curved boundary
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