Finite expiry Russian options (Q2485844)

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Finite expiry Russian options
scientific article

    Statements

    title
    Finite expiry Russian options (English)
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    author
    J. J. Duistermaat
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    Andreas E. Kyprianou
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    Kees van Schaik
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    publication date
    5 August 2005
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    zbMATH Keywords
    American options
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    Russian options
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    Optimal stopping problem
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    Stefan boundary problem
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    Local time-space
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    35R35
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    45G10
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    60H10
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    60H30
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    zbMATH DE Number
    2192578
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