PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION (Q5389107)
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scientific article; zbMATH DE number 6027861
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION |
scientific article; zbMATH DE number 6027861 |
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PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION (English)
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24 April 2012
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perpetual American option
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stochastic dividend rate
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discounted two-dimensional optimal stopping problem
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stochastic boundary
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diffusion process
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hidden Markov chain
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filtering estimate
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innovation process
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parabolic-type free-boundary problem
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change-of-variable formula with local time on surfaces
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