American Options with Discontinuous Two-Level Caps (Q4635248)
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scientific article; zbMATH DE number 6860073
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | American Options with Discontinuous Two-Level Caps |
scientific article; zbMATH DE number 6860073 |
Statements
American Options with Discontinuous Two-Level Caps (English)
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16 April 2018
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American capped option
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optimal stopping
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geometric Brownian motion
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free-boundary problem
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local time
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integral equation
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