Perpetual American options with asset-dependent discounting (Q6139952)
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scientific article; zbMATH DE number 7791675
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American options with asset-dependent discounting |
scientific article; zbMATH DE number 7791675 |
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Perpetual American options with asset-dependent discounting (English)
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19 January 2024
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American option
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Lévy process
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diffusion
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Black-Scholes market
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optimal stopping problem
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convexity
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