Optimal liquidation of a call spread (Q3578685)
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scientific article; zbMATH DE number 5758489
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal liquidation of a call spread |
scientific article; zbMATH DE number 5758489 |
Statements
Optimal liquidation of a call spread (English)
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20 July 2010
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optimal stopping
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call spread
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Bachelier model
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0.8611146
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0.8576033
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0.8458142
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0.84566855
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0.83908516
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0.82995176
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0.81514394
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0.81461746
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