Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879)
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scientific article; zbMATH DE number 6570919
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| English | Perpetual American options in diffusion-type models with running maxima and drawdowns |
scientific article; zbMATH DE number 6570919 |
Statements
Perpetual American options in diffusion-type models with running maxima and drawdowns (English)
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20 April 2016
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perpetual American options
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diffusion-type models
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multi-dimensional optimal stopping problem
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Brownian motion
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running maximum drawdown process
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free-boundary problem
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instantaneous stopping
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smooth fit
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normal reflection
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change-of-variable formula
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0.9369379878044128
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0.8873509168624878
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0.8790056705474854
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0.837688684463501
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0.8233534693717957
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