Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (Q5320740)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints |
scientific article; zbMATH DE number 5582094
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints |
scientific article; zbMATH DE number 5582094 |
Statements
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (English)
0 references
22 July 2009
0 references
reflected diffusion
0 references
Skorokhod problem
0 references
viscosity solutions
0 references
barrier option
0 references
portfolio constraints
0 references
0.7884289622306824
0 references
0.7657928466796875
0 references
0.7593299746513367
0 references
0.7539145946502686
0 references
