The stochastic balance equation for the American option value function and its gradient (Q6144442)
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scientific article; zbMATH DE number 7796472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The stochastic balance equation for the American option value function and its gradient |
scientific article; zbMATH DE number 7796472 |
Statements
The stochastic balance equation for the American option value function and its gradient (English)
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29 January 2024
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American option
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adapted future-supremum
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stochastic balance equation
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Snell envelope
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