Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6626296
@@ Property / zbMATH DE Number: 6626296 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American put option
@@ Property / zbMATH Keywords: American put option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+diffusion model
@@ Property / zbMATH Keywords: diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+parabolic obstacle problem
@@ Property / zbMATH Keywords: parabolic obstacle problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal exercise boundary
@@ Property / zbMATH Keywords: optimal exercise boundary / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+value function
@@ Property / zbMATH Keywords: value function / rank @@
+Normal rank

Revision as of 00:31, 28 June 2023