Further calculations for Israeli options (Q4659573)

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scientific article; zbMATH DE number 2147917
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English
Further calculations for Israeli options
scientific article; zbMATH DE number 2147917

    Statements

    title
    Further calculations for Israeli options (English)
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    author
    Erik J. Baurdoux
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    A. E. Kyrianou
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    publication date
    21 March 2005
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    Mathematics Subject Classification ID
    60G44
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    60J55
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    60J65
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    91A28
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    34B99
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    zbMATH DE Number
    2147917
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    zbMATH Keywords
    stochastic games
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    option pricing
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    free boundary value problem
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    integral options
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    Israeli options
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    local time
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    OpenAlex ID
    W2064461723
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