Russian and American put options under exponential phase-type Lévy models. (Q2574619): Difference between revisions

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Latest revision as of 12:32, 11 June 2024

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Russian and American put options under exponential phase-type Lévy models.
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    Russian and American put options under exponential phase-type Lévy models. (English)
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    29 November 2005
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    Lévy process
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    Markov additive process
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    first passage time
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    Wiener-Hopf factorization
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    Russian option
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    optimal stopping
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