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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| English | Perpetual American options in a diffusion model with piecewise-linear coefficients |
scientific article; zbMATH DE number 6156805 |
Statements
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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0.8790056705474854
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0.8504762649536133
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0.8467848300933838
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0.8395115733146667
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0.83524489402771
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