Valuation of American strangles through an optimized lower-upper bound approach
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Publication:1655917
DOI10.1007/s40305-017-0174-2zbMath1413.91104MaRDI QIDQ1655917
Wen-Yuan Li, Zhen-Yu Cui, Jingtang Ma
Publication date: 10 August 2018
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-017-0174-2
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Cites Work
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