The valuation of American passport options: a viscosity solution approach (Q1730402)
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scientific article; zbMATH DE number 7032501
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| English | The valuation of American passport options: a viscosity solution approach |
scientific article; zbMATH DE number 7032501 |
Statements
The valuation of American passport options: a viscosity solution approach (English)
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6 March 2019
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American passport option
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viscosity solution
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uniqueness
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convexity-preserving property
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optimal exercise boundary
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0.9188249
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0.85133135
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0.84926665
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0.8474563
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0.8417729
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0.83161867
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0.8304739
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