Some optimal stopping problems with nontrivial boundaries for pricing exotic options
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Publication:2774442
DOI10.1239/JAP/1005091029zbMath1026.91048OpenAlexW2160639156MaRDI QIDQ2774442
Publication date: 28 February 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1005091029
Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
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