Asymptotic analysis of American call options
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Publication:1599715
DOI10.1155/S0161171201005701zbMath1018.91020MaRDI QIDQ1599715
Ghada Alobaidi, Roland Mallier
Publication date: 12 September 2003
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/50264
free boundary problem; asymptotic analysis; Black-Scholes formula; optimal exercise boundary; American call options
41A58: Series expansions (e.g., Taylor, Lidstone series, but not Fourier series)
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