The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (Q836062)
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scientific article; zbMATH DE number 5600292
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| default for all languages | No label defined |
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| English | The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate |
scientific article; zbMATH DE number 5600292 |
Statements
The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (English)
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31 August 2009
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American put option
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time-dependent model
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optimal exercise boundary
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early exercise premium representation
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Snell envelope
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optimal stopping
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zeros of semimartingales
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0.8562774062156677
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0.8416951298713684
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0.8070173263549805
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0.7839766144752502
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0.7764758467674255
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