ON THE AMERICAN OPTION PROBLEM (Q5464339)

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scientific article; zbMATH DE number 2195376
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ON THE AMERICAN OPTION PROBLEM
scientific article; zbMATH DE number 2195376

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    ON THE AMERICAN OPTION PROBLEM (English)
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    17 August 2005
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    arbitrage-free price
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    optimal stopping
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    smooth fit
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    geometric Brownian motion
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    free-boundary problem
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    nonlinear integral equation
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    local time-space calculus
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    curved boundary
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