Perpetual American options in a diffusion model with piecewise-linear coefficients (Q4918189)

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scientific article; zbMATH DE number 6156805
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Perpetual American options in a diffusion model with piecewise-linear coefficients
scientific article; zbMATH DE number 6156805

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    Perpetual American options in a diffusion model with piecewise-linear coefficients (English)
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    23 April 2013
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    discounted optimal stopping problem
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    perpetual American options
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    diffusion process with piecewise-linear coefficients
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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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