POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING (Q4601190)
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scientific article; zbMATH DE number 6825789
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| English | POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING |
scientific article; zbMATH DE number 6825789 |
Statements
POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING (English)
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12 January 2018
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obstacle problem
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optimal stopping
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dual approach
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free-boundary problem
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polynomial bounds
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American option price
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regime switching
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