Finite maturity caps and floors on continuous flows
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Publication:1029997
DOI10.1016/j.jedc.2006.12.012zbMath1163.91422OpenAlexW3125121908MaRDI QIDQ1029997
Rafał Wojakowski, Mark B. Shackleton
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.012
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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