One-sided solutions for optimal stopping problems with logconcave reward functions (Q5203892)
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scientific article; zbMATH DE number 7141387
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| English | One-sided solutions for optimal stopping problems with logconcave reward functions |
scientific article; zbMATH DE number 7141387 |
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One-sided solutions for optimal stopping problems with logconcave reward functions (English)
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9 December 2019
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American option pricing
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threshold type
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random walk
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Lévy process
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smooth fit
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0.9036632180213928
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0.8637922406196594
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0.8334112167358398
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0.8260297775268555
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0.822833240032196
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