On the Pricing of Perpetual American Compound Options (Q4561937)
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scientific article; zbMATH DE number 6993398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Pricing of Perpetual American Compound Options |
scientific article; zbMATH DE number 6993398 |
Statements
On the Pricing of Perpetual American Compound Options (English)
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13 December 2018
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perpetual American compound options
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Black-Merton-Scholes model
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geometric Brownian motion
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multi-step optimal stopping problem
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first hitting time
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free-boundary problem
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local time-space formula
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