Perpetual American options in a diffusion model with piecewise-linear coefficients (Q4918189)
From MaRDI portal
scientific article; zbMATH DE number 6156805
Language | Label | Description | Also known as |
---|---|---|---|
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)
0 references
23 April 2013
0 references
discounted optimal stopping problem
0 references
perpetual American options
0 references
diffusion process with piecewise-linear coefficients
0 references
first hitting time
0 references
free-boundary problem
0 references
local time-space formula
0 references