Variational inequalities in stock loan models (Q400032)
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scientific article; zbMATH DE number 6332951
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| English | Variational inequalities in stock loan models |
scientific article; zbMATH DE number 6332951 |
Statements
Variational inequalities in stock loan models (English)
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20 August 2014
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variational inequality method
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optimal stopping problems
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stock loan model
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perpetual American option
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Itō's formula
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Black-Scholes model
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