Regularity of the free boundary of an American option on several assets (Q3636924)

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Regularity of the free boundary of an American option on several assets
scientific article

    Statements

    title
    Regularity of the free boundary of an American option on several assets (English)
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    author
    Peter Laurence
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    Sandro Salsa
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    publication date
    30 June 2009
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    zbMATH Keywords
    American option
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    multiasset option
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    free boundary problem
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    regularity
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    Identifiers

    DOI
    10.1002/cpa.20268
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    Mathematics Subject Classification ID
    91G20
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    91G80
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    35R35
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    zbMATH DE Number
    5572416
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    OpenAlex ID
    W2031122280
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