Double continuation regions for American and Swing options with negative discount rate in Lévy models (Q5109987)
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scientific article; zbMATH DE number 7200955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Double continuation regions for American and Swing options with negative discount rate in Lévy models |
scientific article; zbMATH DE number 7200955 |
Statements
Double continuation regions for American and Swing options with negative discount rate in Lévy models (English)
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14 May 2020
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American option
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Lévy process
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negative rate
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optimal stopping
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