Variational Formulation of American Option Prices in the Heston Model (Q5227407)
From MaRDI portal
scientific article; zbMATH DE number 7086436
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variational Formulation of American Option Prices in the Heston Model |
scientific article; zbMATH DE number 7086436 |
Statements
Variational Formulation of American Option Prices in the Heston Model (English)
0 references
26 July 2019
0 references
American options
0 references
degenerate parabolic obstacle problem
0 references
optimal stopping problem
0 references
0 references
