Exercise regions of American options on several assets

DOI10.1007/s007800050064zbMath1047.91037OpenAlexW2169296382MaRDI QIDQ1966381

Stéphane Villeneuve

Publication date: 1 March 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050064

zbMATH Keywords

optimal stoppingAmerican optionsfree boundary problemsexercise region

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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