Optimal hedging of a perpetual American put with a single trade (Q4958394)
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scientific article; zbMATH DE number 7392180
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| English | Optimal hedging of a perpetual American put with a single trade |
scientific article; zbMATH DE number 7392180 |
Statements
Optimal Hedging of a Perpetual American Put with a Single Trade (English)
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8 September 2021
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optimal hedging
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discrete-time hedging
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American put option
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optimal stopping
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free boundary problems
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0.7832647562026978
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0.7611310482025146
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0.7560504078865051
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0.7504883408546448
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0.7496536374092102
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