Pricing American options under Azzalini Ito-McKean skew Brownian motions (Q6160632)
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scientific article; zbMATH DE number 7701113
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American options under Azzalini Ito-McKean skew Brownian motions |
scientific article; zbMATH DE number 7701113 |
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Pricing American options under Azzalini Ito-McKean skew Brownian motions (English)
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26 June 2023
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American option pricing
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skew Brownian motion
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non-normal distribution
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optimal stopping problem
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quadratic variation
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