On the Russian option: The expected waiting time (Q3842411): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
(4 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: Svend-Erik Graversen / rank | |||
Property / author | |||
Property / author: Svend-Erik Graversen / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2327044718 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 22:35, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On the Russian option: The expected waiting time |
scientific article |
Statements
On the Russian option: The expected waiting time (English)
0 references
21 January 1999
0 references
Russian option
0 references
optimal stopping
0 references
strong Markov property
0 references
Black-Scholes model
0 references
geometric Brownian motion
0 references