A useful extension of Itô's formula with applications to optimal stopping (Q2581206)
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scientific article; zbMATH DE number 2244426
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A useful extension of Itô's formula with applications to optimal stopping |
scientific article; zbMATH DE number 2244426 |
Statements
A useful extension of Itô's formula with applications to optimal stopping (English)
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9 January 2006
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multidimensional Itô formula
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continuous semimartingale
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Brownian motion
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geometric Brownian motion
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smooth fit principle
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American put option
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0.8256921172142029
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0.8118848204612732
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