A note on the perpetual American straddle
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Publication:5012014
DOI10.20948/mathmontis-2019-45-10zbMath1488.91139OpenAlexW3126103647MaRDI QIDQ5012014
Publication date: 30 August 2021
Published in: Mathematica Montisnigri (Search for Journal in Brave)
Full work available at URL: https://pub.uni-bielefeld.de/record/2903703
optimal stoppingBlack-Scholes modelmathematical financederivative pricingperpetual American optionsAmerican straddle
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)