On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes (Q2897161)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes |
scientific article |
Statements
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes (English)
0 references
8 July 2012
0 references
optimal stopping problem
0 references
American call-type reward function
0 references
averaging problem
0 references
matrix-exponential distribution
0 references
jump-diffusion process
0 references
0 references
0 references
0 references
