MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (Q4226866)
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scientific article; zbMATH DE number 1253668
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS |
scientific article; zbMATH DE number 1253668 |
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MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (English)
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26 May 1999
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optimal stopping
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pricing of American options
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Margrabe option
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martingale approach
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