Bachelier-version of Russian option with a finite time horizon (Q3556743)
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scientific article; zbMATH DE number 5701633
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Bachelier-version of Russian option with a finite time horizon |
scientific article; zbMATH DE number 5701633 |
Statements
Bachelier-Version of Russian Option with a Finite Time Horizon (English)
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26 April 2010
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Russian option
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Bachelier model
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optimal stopping theory
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integral equation
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infinitesimal generator
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asymptotic price behavior
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0.9128673672676086
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0.8978123664855957
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0.8891828060150146
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0.8390781879425049
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