The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746)
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scientific article; zbMATH DE number 5695468
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| English | The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints |
scientific article; zbMATH DE number 5695468 |
Statements
The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (English)
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20 April 2010
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stochastic target problem
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discontinuous viscosity solutions
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American options
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0.7788129448890686
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0.7561677098274231
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0.7551801800727844
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