One-sided solutions for optimal stopping problems with logconcave reward functions (Q5203892)
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scientific article; zbMATH DE number 7141387
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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